Alternate Locations: Philadelphia, PA (Pennsylvania)
Relocation assistance is not available for this opportunity.
About the Company
Lincoln Financial Group provides advice and solutions that help empower Americans to take charge of their financial lives with confidence and optimism. Today, more than 17 million customers trust our retirement, insurance and wealth protection expertise to help address their lifestyle, savings and income goals, as well as to guard against long-term care expenses. Headquartered in Radnor, Pennsylvania, Lincoln Financial Group is the marketing name for Lincoln National Corporation (NYSE:LNC) and its affiliates. The company had $222 billion in assets under management as of March 31, 2015.
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The Analyst, Risk Management is responsible for mitigating market risks for Lincoln Financial by devising risk management solutions for variable annuities and other insurance products. This position develops trading solutions to minimize P/L volatility and manage statutory & rating agency capital requirements.
- Onboard new funds on the variable annuity platform by developing automated tools for data preparation and seamless running of back-testing algorithms to quantify hedge effectiveness.
- Analyzes daily / weekly P/L and creates tools for generating performance attribution.
- Improve standard derivatives hedging strategy and implements efficient solutions(under guidance) to mitigate risks embedded in Lincoln’s variable annuity guarantees. These risks include, but not restricted to, equity risk, interest rate risk, volatility risk, tracking error risk, dividend risk.
- Research and implement libraries for valuing and back-testing vanilla and exotic derivatives[Baskets/Asians/Hybrids].
- Ensure consistent modeling/ calibration of assets in trading system and liability hedge models.
- Works with hedging operations team to measure and understand P/L attribution.
- Provides support on the implementation of process improvements that improve quality across the team, department and/or business unit for his/her assigned area(s) of responsibility.
- Change Management
- Identifies and directs the implementation of process improvements that significantly reduce workloads or improve quality across the department for his/her assigned area(s) of responsibility
- Collaborate with colleagues in the risk management department [Modeling & Analytics and Risk System team] and build good relationships.
- Undergraduate degree or 4+ years of comparable work experience; educational concentration in Actuarial Science, Statistics, Mathematics or Hard Science/engineering is required.
- Masters level or Advanced degree preferred.
- At least 1-3 yrs years of experience in quantitative capital markets modeling role including derivatives valuation, risk management and data analysis.
- Strong knowledge of capital markets instruments and hedging strategies.
- Expert level knowledge of Matlab, VBA.
- Advanced knowledge of R, MySQL, C++, Python.
- Sound understanding of econometrics based modeling and research.
- Apply concepts such as probability, statistics, modeling, percentages, ratios, and proportions to practical solutions.
- Knowledge of linear algebra and optimization techniques.
- Sound knowledge of derivatives; and credit, interest rate, foreign exchange and credit risks, and hedging strategies.
- Ability to read, analyze and interpret both internal and external documents such as general media/publications, professional journals, technical procedures, governmental regulations, policies, proposals, and standard operating procedures
- Proficiency with Microsoft Office Suite (Word, Excel, PowerPoint, Outlook).
- This position may be subject to Lincoln’s Political Contribution Policy. An offer of employment may be contingent upon disclosing to Lincoln the details of certain political contributions. Lincoln may decline to extend an offer or terminate employment for this role if it determines political contributions made could have an adverse impact on Lincoln’s current or future business interests, misrepresentations were made, or for failure to fully disclose applicable political contributions and or fundraising activities.
This position may be subject to Lincoln’s Political Contribution Policy. An offer of employment may be contingent upon disclosing to Lincoln the details of certain political contributions. Lincoln may decline to extend an offer or terminate employment for this role if it determines political contributions made could have an adverse impact on Lincoln’s current or future business interests, misrepresentations were made, or for failure to fully disclose applicable political contributions and or fundraising activities.