AVP, Quantitative Research & Modeling, Market Risk Management

Lincoln Financial Group-posted 26 days ago
Full-time • Mid Level
Hybrid • Radnor, PA
5,001-10,000 employees
Insurance Carriers and Related Activities
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The Market Risk Management team is dedicated to safeguarding financial strength and delivering sustainable value for clients and capital providers. We combine advanced quantitative modeling, dynamic hedging strategies, and rigorous governance to manage exposure to market volatility from equity, interest rates, volatility, credit, FX and other factors. By leveraging cutting-edge technology, modeling and integrated risk frameworks, we optimize capital efficiency while maintaining robust protection against market risks across our VA, RILA, FIA, IUL & other products. The AVP, Quantitative Research and Modeling leads a team of quantitative and actuarial professionals in developing and implementing complex models. These models support the hedging and risk management of investment guarantees including models that perform projection of annuities and derivatives. This role owns the models that are key drivers for setting hedge strategy, financial planning, financial reporting, and other strategic priorities.

  • Direct the continued creation of annuity cash flow, VM21, and derivatives models supporting company target capital and hedge strategy decisions
  • Support the ongoing development of annuity models supporting key GAAP financial reserve reporting calculations
  • Maintain and improve upon the mechanical calculations of RILA, VA, FIA product features
  • Provide thought leadership around understanding and optimizing distributable earnings
  • Provide insight into financial results, based on a deep understanding of the financial drivers of hedging such as cost, carry, and time value
  • Lead the development of advanced GPU-based nested stochastic projections of derivative assets and actuarial liabilities
  • Direct, researches and drives the strategy to ensure continued improvement of existing risk strategies/methodologies for the entire hedge program; manage implementation of proof-of-concept model as results of research.
  • Partner with units within Market Risk Management to design and deliver highly complex production systems which are strategically important for enterprise's competitiveness.
  • Serves as a subject matter expert and partners with other business units within the company, such as pricing team and ALM team, to assess highly complex financial impacts and design methodologies to migrate risks at enterprise level.
  • Serves as a subject matter expert and collaborates with external partners to understand industrial trends and provide complex, specialized expertise and guidance to sr. mgmt. on risk management strategies and modeling tactics.
  • Actively seeks ways to optimize risks in the organization as a competitive business advantage across GAAP/Statutory and other financial metrics.
  • Maintains knowledge on current and emerging developments/trends for assigned area(s) of responsibility, assesses the impact, and collaborates with senior management to incorporate new trends and developments in current and future strategies.
  • Directs and enhances organizational initiatives by positively influencing and supporting change management and/or departmental/enterprise initiatives within assigned area(s) of responsibility.
  • Identifies and directs strategic process improvements that significantly reduce workloads or improve quality across the team, department and/or business unit for assigned area(s) of responsibility.
  • Provides subject matter expertise to team members and internal/external stakeholders on complex assignments/projects for their assigned area(s) of responsibility.
  • Provides training and development opportunities, including stretch assignments, for team members and gives honest and open feedback to aid in the development of talent.
  • Directs, establishes and implements priorities, performance goals and objectives to ensure departmental results for their assigned area(s) of responsibility.
  • Directs and evaluates departmental performance and takes appropriate action to meet and/or exceed performance standards for assigned area(s) of responsibility.
  • Provides strategic leadership and direction to continually improve the capability and results for their assigned area(s) of responsibility.
  • Directs/executes approved strategy decisions and contributes to strategy creation for assigned area(s) of responsibility.
  • Ensures that top talent is hired and retained for their assigned area(s) of responsibility.
  • Builds organizational capability within their assigned area(s) of responsibility.
  • 4 Year/Bachelor's degree (or equivalent) (Minimum Required)
  • Ph.D. or Master's in a quantitative discipline (Financial Engineering, Mathematics, Physics, Engineering, or related fields) or professional designation (e.g. FSA)
  • Actuarial background, designations, and/or experience preferred
  • 10+ Years of Risk Management experience within modeling, insurance product risks, derivatives risk, strategy and/or financial engineering. 3+ managerial, supervisory, and/or demonstrated leadership experience. (Required)
  • Strong communication skills
  • Experience with US GAAP and US Statutory frameworks for annuities and derivatives/hedging
  • Demonstrated ability to identify, develop and implement processes improvements.
  • Demonstrated ability to successfully hire, retain, develop and coach staff via a culture of real-time performance feedback, with ability to build both technical and leadership skills.
  • Demonstrated strong relationship management skills with internal clients (e.g. senior management, peers and colleagues); proven ability to develop creative and collaborative approaches.
  • Demonstrates strong interpersonal skills with a collaborative style.
  • Demonstrates strong project management leadership skills including, critical ability to coordinate and balance multiple projects in a time-sensitive environment, under pressure, and meeting deadlines.
  • Finds common ground and can gain collaboration among senior management, colleagues and peers; can influence outcomes without directing or commanding.
  • Proficiency with Microsoft Office Suite (Word, Excel, PowerPoint, Outlook).
  • Successfully completes regulatory and job training requirements.
  • Clearly defined career tracks and job levels, along with associated behaviors for each of Lincoln's core values and leadership attributes
  • 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
  • Work arrangements that work for you
  • Effective productivity/technology tools and training
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