Quantitative Derivatives Specialist - Market Risk Strategy

The Role at a Glance

We’re excited to add a Specialist, Quantitative Derivatives, to the Market Risk Strategy Team. This team is responsible for the hedging and market risk management strategy, product risk management strategy, and fund risk management analytics and strategy. The position will be heavily involved in developing market risk strategies that use capital markets, actuarial and computational tools and models to hedge and manage capital market risk exposures to the underlying businesses and investments.

The role will also work with, and leverage the work of, other MRM asset and liability teams and other product and finance teams across the company closely and play a vital role in optimizing our hedging programs, and managing the inforce business and developing new products to support company’s sustainable growth.

What You'll Be Doing

• Contribute to the overall strategic design in the development and implementation of hedging strategies and solutions to manage embedded market risks within Lincoln’s annuity and life insurance products.
• Contribute to continued enhancements of our market risk management and hedge solutions in practice and theory, on asset/liability risk modeling, hedge strategies, risk analytics, and performance attribution reporting.
• Maintain knowledge on current and emerging developments/trends for assigned area(s) or responsibility, assess the impact, and collaborate with senior management to incorporate new trends and developments in current and future solutions.
• Hedge Strategy: Perform integrated asset/liability hedge strategy analysis, developing tools and leveraging the MRM risk modeling and derivatives trading teams for support of asset/liability projections and modeling support. Improve strategy to maintain its optimality as the book, markets, market experience evolves. Reduce hedge costs by looking for synergies across products/businesses and optimize the hedge targets without taking undue risks. Develop hedge strategy that optimizes the value of the in-force and supports sustainable growth.
• Fund Strategy and Analytics: Perform the funds analytics function that actively measures and reports fund performance, underlying the variable products, and its impact on key financial metrics, making hedge strategy recommendations and working with Funds Management as needed. Provide MRM advisory oversight of the onboarding of new funds and changes to the risk management platform while adhering to best practices in financial engineering.
• Product Strategy: Provide MRM advisory oversight of product market risk review while adhering to support sustainable growth. Develop tools and leverage models and tools from other teams. Be an active part of product design such that market risks can be internally sourced/recycled/offset. Be a partner to the lines of businesses in ideating and developing next generation of products and market risk solutions.

Must Haves

• 4 Year/Bachelor’s Degree in a quantitative field or equivalent work experience.
• 1 - 2+ Years of work experience, with one year+ of experience programming or modeling for financial instruments with Python/C++ applications.
• Attention to details and a quick learner.

Nice to Have

• Investment, actuarial, or risk management credential.
• Ph.D or Master’s degree in Applied Math, Statistics, Actuarial Science, Quantitative Finance, Computer Science, with strong programming background strongly preferred.