Portfolio Modeling - Vice President

BlackRock • New York, NY

2d • $170,000 - $225,000 • Hybrid

About The Position

About this role The Modeling and Research team 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 and development of quantitative financial models and tools across many different areas – single-security pricing, prepayment models, risk, return attribution, liquidity, optimization and portfolio construction, scenario analysis and simulations, etc. and 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. Modeling and Research also conducts leading research on the areas above, delivering state-of-the-art models. They also publish applied scientific research frequently, and our members present regularly at leading industry conferences. Modeling and Research engages constantly with the sales team in client visits and meetings. Key Responsibilities: The Modeling and Research team is looking for governance researchers, who are responsible for researching and implementing performance monitoring framework for the model family calibration outcome. The person will work with both firm’s model risk department and investment team stakeholders to address their feedback regarding model governance and comply with firm’s policy. We are specifically hiring for the following teams. The Portfolio Simulation Research team: This team specifically is building out a new engine for the joint simulation of the global macro economy, drivers of financial markets, individual assets, and private cashflows. The team is building and connecting innovative models and methodologies across these spaces in a Bayesian framework. The engine is used in scenario analysis and portfolio construction / strategic asset allocation. Responsibilities for this team include: • Doing theoretical research to come up with new, or find existing models and methodologies in the risk space, across multiple asset classes including private assets. • Doing empirical research to calibrate new models to financial data. • Backtesting, documenting, and guiding new models and methodologies through validation. • Communicate with internal and external clients to identify industry-wide quantitative problems and collaborate with academics affiliated with BlackRock to explore solutions. • Collaborate on papers for publication, presenting original research at industry conferences, and speaking with institutional clients about relevant research. Additional job responsibilities may include working with portfolio management teams on bespoke projects supporting their investment processes or working with financial advisory teams on modeling projects for bespoke products.

Requirements

• PhD/Master Mathematics, Statistics/Econometrics, Finance, Science, Economics or other relevant quantitative disciplines.
• 5 to 10 years’ experience in quantitative modeling and analytics, or model risk.
• Able to communicate quantitative information and collaborate effectively in a team environment. Able to communicate with internal stakeholders and external clients.
• Solid programming skills in Python and a drive and ability to quickly pick up new technologies. Experience in Git, Unix.

Nice To Haves

• Exposure to SQL, or any high-performance computing language is a plus but not required.
• Exposure to PyTorch/Jax is a plus but not required.

Responsibilities

• Doing theoretical research to come up with new, or find existing models and methodologies in the risk space, across multiple asset classes including private assets.
• Doing empirical research to calibrate new models to financial data.
• Backtesting, documenting, and guiding new models and methodologies through validation.
• Communicate with internal and external clients to identify industry-wide quantitative problems and collaborate with academics affiliated with BlackRock to explore solutions.
• Collaborate on papers for publication, presenting original research at industry conferences, and speaking with institutional clients about relevant research.
• working with portfolio management teams on bespoke projects supporting their investment processes or working with financial advisory teams on modeling projects for bespoke products.

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
• Number of Employees: 5,001-10,000 employees