About this role
Who We Are
Quantitative Modeling and Research (QMR) is an innovative team within Single Security Pricing (SSP) area. We specialize in crafting sophisticated risk and valuation models that span a diverse range of products, including interest rates, FX, inflation, equity, and credit. Our mission goes beyond traditional quantitative models; we are at the forefront of exploring novel modeling techniques, such as neural networks, to tackle complex problems in quantitative finance.
What makes working on the team both challenging and rewarding:
Focus on business: We do not solve the math problem – we solve the business problem!
Breadth of product coverage: We support both BlackRock with over $11T AUM and Aladdin clients with trillions more. This is a tremendous breadth of products we need to cover.
Excellence in modeling and coding: We pride ourselves both on building great models and writing high quality code.
Collaborative environment: We have a lot of smart people on the team. Working here is a great chance to both learn and to teach others.
Job Responsibilities
Model Governance: work on the research and development of a model surveillance and model performance framework for the Single Securities Pricing Team (SSP), primarily focused on interest rate derivative models.
Responsibilities will include implementation and maintenance of the model surveillance and performance monitoring infrastructure for the models supported by the team. Typically, this involves quantitative analysis of derivative model output and implementation of functions/applications, in Python, to compute thresholds and monitoring of daily values.
Enhance model documentation for a suite of pricing models supported by the team.
Collaborate with the second line validation team in all aspects of model validation and compliance.
Thought Leadership: keep abreast of recent trends in quantitative finance, capital markets and government regulation. Bring the latest techniques to bear on the problems we face in our day-to-day work.
Closely collaborate with model owners to enhance the models based on findings.
Qualifications
An undergraduate degree in a quantitative field such as Math, CS, Engineering or Physics is required. An advanced degree is a plus, but understanding modeling is more important than formal qualifications.
Understanding of Fixed Income valuation and modelling concepts including but not limited to yield curve contraction techniques, risk-neutral pricing framework, and routes to calibrate the stochastic models.
Coding is at the heart of everything we do. Expertise in Python and familiarity with C++ is needed. You are expected to have the expertise to develop Python applications leveraging in-house Python/C++ libraries.
An Analytical Frame of Mind: keen interest in solving analytical problems is key.
Excellent Communication Skills: you will be interacting with other teams in the firm. The ability to explain your research and results to your non-technical counterparts in terms that they can follow is important.
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.
Our hybrid work model
BlackRock’s hybrid work model is designed to enable a culture of collaboration and apprenticeship that enriches the experience of our employees, while supporting flexibility for all. Employees are currently required to work at least 4 days in the office per week, with the flexibility to work from home 1 day a week. Some business groups may require more time in the office due to their roles and responsibilities. We remain focused on increasing the impactful moments that arise when we work together in person – aligned with our commitment to performance and innovation. As a new joiner, you can count on this hybrid model to accelerate your learning and onboarding experience here at BlackRock.
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 @blackrock | Twitter: @blackrock | LinkedIn: www.linkedin.com/company/blackrock
BlackRock is proud to be an Equal Opportunity Employer. We evaluate qualified applicants without regard to age, disability, family status, gender identity, race, religion, sex, sexual orientation and other protected attributes at law.
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