Sr. Quantitative Derivatives Associate, Quantitative Risk Modeling - Market Risk Management

$59,101 - $110,900/Yr

Lincoln Financial Group - Radnor, PA

Full-time - Entry Level

Remote - Radnor, PA

Securities, Commodity Contracts, and Other Financial Investments and Related Activities

About the position

The Senior Quantitative Derivatives Associate role at Lincoln Financial offers an exciting opportunity to join the Quantitative Risk Modeling team within Market Risk Management (MRM). This team is responsible for the development, implementation, and analysis of models that support the annuity hedge programs. The successful candidate will engage in the development and maintenance of stochastic, analytical, and machine learning models that integrate capital market, actuarial, and quantitative finance disciplines. These models are crucial for producing data and analytics that aid in hedging, pricing, and valuation for the annuity business. In this role, the Senior Quantitative Derivatives Associate will connect the work of the Quantitative Risk Modeling team to various business areas, contributing to firm-wide initiatives such as launching new products, understanding and incorporating regulatory changes, and developing innovative hedging strategies. The candidate will be expected to perform and deliver on assignments aimed at mitigating market risk by identifying and reporting on key risks associated with both variable and indexed annuities. The position requires a blend of technical knowledge, critical thinking, organizational effectiveness, change management, and collaboration skills. The candidate will perform operational processes for variable annuities, maintain first principles reference models, generate economic scenarios, and implement improvements to MRM's risk models and workflows. Additionally, the role involves building strong relationships with internal clients and management, influencing outcomes, and supporting organizational initiatives.

Responsibilities

• Perform operational processes for variable annuities, including stochastic projections for future liability greeks calculation and hedging assets/liabilities rebalancing.
• Maintain and update first principles reference models for variable annuities cashflows calculation.
• Generate stochastic and deterministic economic scenarios for various internal assets/liabilities projections.
• Develop and implement improvements to MRM's risk models, workflows, and systems.
• Support the implementation process of existing and new VA/RILA product designs and features.
• Conduct ad hoc analyses to support business needs.
• Identify and recommend process improvements to enhance quality and reduce workloads across the team.
• Serve as a resource for organizational initiatives, positively influencing change management efforts.
• Build and maintain strong relationships with internal clients and management, fostering collaboration and influencing outcomes.

Requirements

• Bachelor's degree in Statistics, Mathematics, Hard Science/Engineering, or Actuarial Science, or equivalent work experience (4 years of experience in lieu of Bachelor's).
• Proficiency in a common programming language such as Python, R, Java, C#, VB, or C++.
• 0-2 years of increasing experience in variable annuity market risk management or a related field.
• Knowledge of capital markets and insurance products, particularly annuities.
• Strong analytical, diagnostic, and organizational skills, with the ability to communicate effectively to both technical and non-technical audiences.

Nice-to-haves

• Masters level or advanced degree preferred but not required.
• Working knowledge of capital markets instruments, derivatives models, and valuation techniques.
• Strong written and verbal communication skills.
• Proficiency with Excel/VBA.
• Experience working with data and interfacing with databases, either SQL or No-SQL.
• Ability to read C++/C.
• Ability to handle multiple priorities and adapt to changing priorities as needed.
• Ability to perform in a fast-paced work environment.
• Attention to detail.

Benefits

• Clearly defined career tracks and job levels with associated behaviors for each Lincoln leadership attribute.
• Leadership development and virtual training opportunities.
• PTO/parental leave.
• Competitive 401K and employee benefits.
• Free financial counseling, health coaching, and employee assistance program.
• Tuition assistance program.
• A leadership team that prioritizes health and well-being, offering a remote work environment and flexible hybrid work situations.
• Effective productivity/technology tools and training.