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Position: Trading Strategist, Market Risk Management
Institution: Lincoln Financial Group
Department: Risk Management, Strategist, Manager, Equity, Liability, Finance, Management, Strategy, Insurance
Location: Philadelphia, Pennsylvania, United States
Duties: Technical Knowledge; Develop and expand quantitative libraries for valuing and back-testing vanilla and exotic derivatives[Baskets/Asians/Hybrids]; Research/develop and recommend derivatives hedging strategies 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, credit risk; Design and Implement back-testing tools to evaluate efficacy of developed hedging strategies; Ensure consistent modeling/ calibration of assets in trading system and liability hedge models; Produce high level technical presentations on hedging effectiveness, cost benefit analysis, derivative pricing, and valuation methodologies for senior management; Collaborate with stakeholders including Pricing & Product Teams, Asset Liability Management (ALM) Team; Collaborate with hedging operations team to measure and develop P/L attribution; Organizational Effectiveness; Provides direction on complex assignments, projects, and/or initiatives to build and enhance the capability of his/her assigned area(s) of responsibility; Identifies and directs the implementation of process improvements that significantly improve quality across the team, department and/or business unit for his/her assigned area(s) of responsibility; Change Management; Directs and enhances organizational initiatives by positively influencing and supporting change management and/or departmental/enterprise; 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; Collaboration; Demonstrates strong relationship management skills with internal clients and or senior management and finds common ground and can gain collaboration among senior management, colleagues and peers; can influence outcomes without directing or commanding
   
Text: Trading Strategist, Market Risk Management Date: Jan 22, 2017 Location: Philadelphia, PA, US Company: Lincoln Financial Alternate Locations: Philadelphia, PA (Pennsylvania) Relocation assistance will be considered/provided for this opportunity within our company guidelines. Requisition #4163 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. The Role The Market Risk Management Team is responsible for mitigating market risks for Lincoln Financial by devising risk management solutions for variable annuities other insurance products. In particular the group develops trading strategies to minimize P/L volatility and manage statutory & rating agency capital requirements. As a result EqRM manages a large portfolio of derivatives in many different asset classes. Responsibilities Technical Knowledge Develop and expand quantitative libraries for valuing and back-testing vanilla and exotic derivatives[Baskets/Asians/Hybrids] Research/develop and recommend derivatives hedging strategies 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, credit risk. Design and Implement back-testing tools to evaluate efficacy of developed hedging strategies. Ensure consistent modeling/ calibration of assets in trading system and liability hedge models. Produce high level technical presentations on hedging effectiveness, cost benefit analysis, derivative pricing, and valuation methodologies for senior management. Collaborate with stakeholders including Pricing & Product Teams, Asset Liability Management (ALM) Team. Collaborate with hedging operations team to measure and develop P/L attribution. Organizational Effectiveness Provides direction on complex assignments, projects, and/or initiatives to build and enhance the capability of his/her assigned area(s) of responsibility. Identifies and directs the implementation of process improvements that significantly improve quality across the team, department and/or business unit for his/her assigned area(s) of responsibility. Change Management Directs and enhances organizational initiatives by positively influencing and supporting change management and/or departmental/enterprise. 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. Collaboration Demonstrates strong relationship management skills with internal clients and or senior management and finds common ground and can gain collaboration among senior management, colleagues and peers; can influence outcomes without directing or commanding. Requirements Education 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 Experience 5 years of experience capital markets quantitative modeling/hedging/trading role including demonstrated solid experience and understanding of risk management practices and processes that directly aligns with the specific responsibilities. Strong practical experience developing production valuation models of IR Swap Swaps/ Variance Swaps/CDS/Vanilla options vol surface calibration and market conventions. Expert level knowledge of C++, C#, Matlab,MySQL. Sound understanding of econometrics based modeling and research. Knowledge of linear algebra and optimization techniques. Ability to read, analyze andinterpret both internal and external documents such as general media/publications, professional journals, technical procedures, governmental regulations, policies, proposals, and standard operating procedures Sound knowledge of derivatives; and credit, interest rate, foreign exchange and credit risks, and hedging strategies Demonstrates excellent relationship management skills with internal clients (i.e. senior management, peers, and colleagues); proven ability to develop creative and collaborative approaches to driving client-focused solutions which also benefit the company’s top and bottom lines. #LI-AE1 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. Nearest Major Market: Philadelphia Job Segment: Risk Management, Strategist, Manager, Equity, Liability, Finance, Management, Strategy, Insurance
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