BlackRock

Position Title/Short Description

Full Text of JOE Listing:

About this role

Elevate your career by joining the world's largest asset manager! Thrive in an environment that fosters positive relationships and recognizes outstanding performance! We know you want to feel valued every single day and be recognized for your contribution. At BlackRock, we strive to empower our employees and effectively engage your involvement in our success.

Business Unit Overview:

Come join a diverse and collaborative team of researchers at the Financial Modeling Group (FMG) who are responsible for the research and development of financial models underpinning the risk management and relative value analytics produced at BlackRock. The group also contributes to the infrastructure platform to produce analytics and the delivery of analytic content to portfolio and risk management professionals both within and outside BlackRock. Given the diversity of business objectives among BlackRock Solutions clients and within BlackRock itself the models developed and supported by the Financial Modeling Group span a wide array of financial products, ranging from equity to fixed income to derivatives. In addition, members of FMG seek to provide analysis and insight on many different levels from analysis of the cash flows of a single bond to the overall financial risk associated with an entire portfolio, enterprise, or balance sheet.

FMG 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.

Key Responsibilities:

The primary job responsibility is to focus on the research and model development effort required for building and maintaining BlackRock’s suite of fundamental factor risk models, spanning across equity, fixed income, and alternatives asset classes, as well as risk methodologies related to VaR, Tracking error, and stress testing. The candidate will be responsible for all aspects of model development including:

Building, prototyping, and backtesting the models in the research statistical computing environment (e.g. Python or R)

Communicating with senior risk and portfolio managers to design the models and promote model adoption in new use cases.

Writing model documentation including both white papers describing modelling framework and calibration methodology, and detailed technical specifications for implementation by the programming team in the BlackRock production code environment.

Collaborating on papers for publication, presenting modeling findings and insights at industry conferences, and speaking with institutional clients about relevant research.

Examples of projects:

Design a model to capture key risk drivers of a new asset class, such as private credit, China corporate bond, Danish Mortgage, to be integrated into Aladdin’s suite of multi-factor risk models.

Introduce a “distressed” factor to better capture downside risk premium in equity factor models.

Introduce variants of existing models to accommodate different investment horizons.

Design smarter algorithms to improve outlier detection of model input/output to increase model accuracy in the production environment.

Introduce extreme-value-theory into VaR methodologies to generate more accurate and robust tail forecasts.

Research and develop more advanced factor selection/backtesting algorithms to increase scalability and shorten time to market of new models.

Skills and Qualifications:

PhD in Finance, Statistics/Econometrics, Economics, or other relevant quantitative disciplines.

Hands-on experience dealing with large and complex data sets and leveraging econometric/statistical techniques to conduct high quality empirical research.

Knowledge of financial markets and instruments, as well as academic literature on empirical asset pricing is highly desirable

Able to communicate quantitative information and collaborate effectively in a team environment.

Solid programming skills in Python, R or Matlab and a drive and ability to quickly pick up new technologies. Exposure to Git, Unix or SQL is a plus.

Elevate your career by joining the world's largest asset manager! Thrive in an environment that fosters positive relationships and recognizes outstanding performance! We know you want to feel valued every single day and be recognized for your contribution. At BlackRock, we strive to empower our employees and effectively engage your involvement in our success.

Our benefits

To help you stay energized, engaged and inspired, we offer a wide range of benefits including a strong retirement plan, tuition reimbursement, comprehensive healthcare, support for working parents and Flexible Time Off (FTO) so you can relax, recharge and be there for the people you care about.

About BlackRock

At BlackRock, we are all connected by one mission: to help more and more people experience financial well-being. Our clients, and the people they serve, are saving for retirement, paying for their children’s educations, buying homes and starting businesses. Their investments also help to strengthen the global economy: support businesses small and large; finance infrastructure projects that connect and power cities; and facilitate innovations that drive progress.

This mission would not be possible without our smartest investment – the one we make in our employees. It’s why we’re dedicated to creating an environment where our colleagues feel welcomed, valued and supported with networks, benefits and development opportunities to help them thrive.

For additional information on BlackRock, please visit careers.blackrock.com | www.blackrock.com/corporate | Instagram: @blackrock | Twitter: @blackrock | LinkedIn: www.linkedin.com/company/blackrock

BlackRock is proud to be an Equal Opportunity and Affirmative Action Employer. We evaluate qualified applicants without regard to race, color, national origin, religion, sex, sexual orientation, gender identity, disability, protected veteran status, and other statuses protected by law.

BlackRock will consider for employment qualified applicants with arrest or conviction records in a manner consistent with the requirements of the law, including any applicable fair chance law.