Portfolio Risk Modeling - Associate

BlackRock • New York, NY

1d • $137,500 - $170,000 • Hybrid

About The Position

About this role BlackRock is one of the world’s preeminent asset management firms and a premier provider of global investment management, risk management and advisory services to institutional, intermediary, and individual investors around the world. BlackRock offers a range of solutions — from rigorous fundamental and quantitative active management approaches aimed at maximizing outperformance to highly efficient indexing strategies designed to gain broad exposure to the world’s capital markets. Our clients can access our investment solutions through a variety of product structures, including individual and institutional separate accounts, mutual funds and other pooled investment vehicles, and the industry-leading iShares® ETFs. Aladdin Financial Engineering (AFE) AFE is a diverse and global team with a keen interest and expertise in all things related to technology and financial analytics. The group is responsible for the research, development, and adoption of quantitative financial and behavioral models and tools across many different areas – single-security pricing, prepayment models, risk, return attribution, liquidity, optimization and portfolio construction, scenario analysis and simulations, covering all asset classes. The group is also responsible for the technology platform that delivers those models to our internal partners and external clients, and their integration with Aladdin. The Portfolio Risk team builds and maintains multiple models and analytics, including linear factor models, Value-at-Risk (VaR) methodologies, volatility and covariance matrix estimation, and portfolio stress testing & scenario analytics. Our models cover a wide variety of fixed income, equity, and alternatives asset classes. The models utilize sophisticated econometric/statistical methods and tools. Aladdin model suite is utilized by traders, portfolio managers and risk managers at BlackRock and platform’s clients, and influence investment activity. We strive to lead and implement models that scale with our growing Analytics’ business ensuring adherence to BlackRock’s rigorous standards of model governance. AFE is looking for a quantitative researcher to contribute to the development of BlackRock’s proprietary fixed income portfolio risk models and associated risk methodologies. These models are used in portfolio risk management, performance attribution, and portfolio construction for all portfolios running through Aladdin’s platform.

Requirements

• MFE degree with Internship or a PHD in a technical field (Econometrics, Finance, Maths, Statistics, Computer Science and/or Engineering)
• Hands-on experience dealing with large and complex data sets and leveraging econometric/statistical techniques to conduct high quality empirical research.
• Strong programming skills and experience using Python/R to conduct statistical/econometric analyses
• Strong knowledge of financial, mathematical, and statistical theory
• Strong interest in financial market
• Strong oral and written (English language) communication skills that enable complex ideas to be readily understood by team members and clients
• Enthusiasm, flexibility, and maturity to adapt to the needs of a dynamic group and deliver within strict time frame
• Good time management skills including the ability to handle multiple projects
• Interest in portfolio risk modelling

Nice To Haves

• Experience with various ML/AI algorithms is a plus.
• Knowledge in Unix/Linux, Git is a plus

Responsibilities

• Researching, designing, and back-testing new risk models using Python infrastructure
• Collaborating with software developers to test and release new models into production
• Supporting existing risk models in production; developing and improving model quality control and model back-testing procedures; maintaining and extending research framework
• Investigating and resolving client queries relating to model methodology and functionality

Benefits

• employees are eligible for an annual discretionary bonus, and benefits including healthcare, leave benefits, and retirement benefits
• strong retirement plan
• tuition reimbursement
• comprehensive healthcare
• support for working parents
• Flexible Time Off (FTO)

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: Ph.D. or professional degree