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AVP, Fixed Income

Date: Nov 11, 2017

Location: Radnor, PA, US

Company: Lincoln Financial

 

 

 

   

Alternate Locations: Greensboro, NC (North Carolina); Radnor, PA (Pennsylvania)

 


Relocation assistance will be considered/provided for this opportunity within our company guidelines.

 



Requisition #38161

 


About the Company

 

Lincoln Financial Group provides advice and solutions that help empower people 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 Role

 

As Assistant Vice President, Fixed Income Risk and Analytics, you will be responsible for both developing and managing portfolio management reporting and tools that include quantitative investment/risk management metrics and analytics on a suite of global multi-asset class risk managed portfolios.

 

You will be heavily involved in strategy development and supporting portfolio managers to perform returns/volatility/risk modeling on the General Account, setting obligor limits, industry sector limits, and country limits.  You will design quantitative benchmarks for monitoring firm-wide portfolio and asset manager portfolio performance.  You will identify and analyze hedging mechanisms, and develop asset allocation models.  You will support the modeling and deployment of the annual financial plan for Investments. You will keep abreast of capital market trends in existing and new asset classes and hedging strategies.  You will advise the management on the adequacy of internal and third party risk and performance reporting.  You will prepare and communicate the technical documents, presentations pertaining to portfolio risk and performance.  You will be familiar with the NAIC capital charge calculations and the impact on the RBC of rating changes.

 

You will provide leadership in the preparation of recommendations on limits to the Lincoln Investment Committee, and the lead the analysis of Lincoln’s peer groups in asset allocation trends.  You will support the analytics used in developing pricing indexes, and default charges.  You will collaborate with Enterprise Risk Management in the development and governance of models used within Investments.  You will ensure that compliance processes are created in accordance with Investment Committee approved limits and operated to comply with statutory, IPS, and management limits.

 

Responsibilities

 

Leadership and Strategy

 

  • Leads and directs the strategy and  team of investment analysts and modelers to support the reporting, analytics, asset manager performance evaluation and compliance functions.
  • Liaises with other units within investments and outside to achieve corporate goals.
  • Interacts with technology group (IT) and vendors to lead the installation of solutions .
  • Advises management and applicable key stakeholders on technical design risk management issues including ensuring that all parties understand the significant capabilities, risk and/or system limitation(s).
  • Prepares and reports on analytical findings and recommendations to Lincoln investment/risk committees.
  • Prepares and communicates technical documents, presentations, and communications (memos, fact sheets, collateral materials) pertaining to risk/exposure and performance attribution to a wide range technical and non-technical audiences.
  • Partners with other teams within the company, particularly Treasury, to implement Accounting and IT solutions to enhance products design, risk management and capital requirements.

    Risk and Analytics

     

  • Directs the implementation of an analytics and technology platform for trade allocation, limits management, aggregation, risk analytics and performance attribution at the product, asset class, legal entity, and asset manager level using third party solutions .

 

  • Ensures that accurate and timely Lincoln and capital market data is made available to the platform for generating the analytics and take steps to ensure data quality is maintained in the reports.
  • Defines and drives the strategy to deliver the appropriate reports and dashboards to support the investment management needs to inform, articulate and take timely action.
  • Defines and manages the implementation in the analytics platform appropriate risk and return metrics and performance benchmarks by asset class, asset manager and portfolio for the General Accounts fixed income assets.
  • Directs the development of statistical and econometric based interest rate models, credit risk, equity models as needed to manage and monitor portfolio risks, returns and volatility.
  • Creates and enhances all existing/future quantitative investment models and tools to measure current investment positions and forecasting of future positions.
  • Develops and implements a process for regularly stress testing portfolios and reporting results to management.
  • Identifies derivative instruments and hedging/risk management mechanisms that would enhance existing strategies.
  • Evaluates third party risk reporting and analytics solutions
  • Critiques and enhances various systems utilized in analyzing various risks within the Lincoln General Accounts Investment Management
  • Partners with other teams within the company, particularly Treasury, to implement Accounting and IT solutions to enhance products design, risk management and capital requirement

 

Investment Modeling

 

  • Directs the development of statistical and econometric based interest rate models, credit risk, equity models as needed to manage and monitor portfolio risks, returns and volatility.
  • Creates and enhances all existing/future quantitative investment models and tools to measure current investment positions and forecasting of future positions.
  • Develops and implements a process for regularly stress testing portfolios and reporting results to management.
  • Critiques and enhances various systems utilized in analyzing various risks within the Lincoln General Accounts Investment Management
  • Partners with other teams within the company, particularly Treasury, to implement Accounting and IT solutions to enhance products design, risk management and capital requirements.
  • Develops/maintains asset allocation models

     

Education

  • 4 Year Bachelor’s Degree in a quantitative field (e.g. physics, mathematics, finance, computer science, statistics, actuarial science, engineering or related field) or equivalent work experience
  • Graduate Degree, CFA designation or equivalent work experience preferred

Experience

  • 10+ years of equivalent progressively increasing responsibility in fixed income investment quantitative analysis (asset classes include; corporate, muni, structured finance, private equity and hedge funds, commercial mortgage loans and middle market loans.)
  • 3+ years of managerial experience managing technical professionals including influencing senior management/critical stakeholders experience.
  • Progressive relevant modeling, or risk management of credit, fixed income and derivative portfolios experience and 5+ years of progressive experience.
  • Knowledge of Life insurance company investments preferred
  • Project management experience highly desirable
  • Experience with Risk Frontier, CreditPro, LossCalc, Bloomberg, Optimization desirable
  • Familiarity with investment  &  accounting systems and information technology desirable
  • Self-starter with good communication and presentation skills and can work with minimum supervision
  • Hands on experience with analytical tools, such as SAS, SPSS, MATLAB, FINCAD, Excel
  • A demonstrated track record of consistently meeting and/or exceeding performance expectations
  • Drives performance targets to completion #LI-AE!

 

 

 


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.
 

Lincoln Financial Group (“LFG”) is an Equal Opportunity employer and, as such, is committed in policy and practice to recruit, hire, compensate, train and promote, in all job classifications, without regard to race, color, religion, sex (including pregnancy), age, national origin, disability, sexual orientation, gender identity and expression, veterans status, or genetic information.  Applicants are evaluated on the basis of job qualifications.  If you are a person with a disability that impedes your ability to express your interest for a position through our online application process, or require TTY/TDD assistance, contact us by calling 260-455-2558.

 


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