Portfolio Risk Modeling - Associate

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’s mission is to create a better financial future for our clients. We have a responsibility to be the voice of the investor, and we represent each client fairly and equally. Constant communication with a diverse team of partners strengthens us and delivers better results for our clients. Continuous innovation helps us bring the best of BlackRock to our clients. 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. 

About Aladdin Financial Engineering (AFE): 

Join a diverse and collaborative team of over 400 modelers and technologists in Aladdin Financial Engineering (AFE) within BlackRock Solutions, the business responsible for the research and development of Aladdin’s financial models. This group is also accountable for analytics production, enhancing the infrastructure platform, and delivering analytics content to portfolio and risk management professionals (both within BlackRock and across the Aladdin client community). The models developed and supported by AFE span a wide array of financial products covering equities, fixed income, commodities, derivatives, and private markets. AFE provides investment insights that range from an analysis of cash flows on a single bond, to the overall financial risk associated with an entire portfolio, balance sheet, or enterprise. 

Role Overview: 

We are looking to hire a quant modeler to join our Portfolio Risk Modeling team to drive the development of portfolio risk models for private market investments.  This team builds and maintains risk models and analytics, including linear factor models, Value-at-Risk (VaR) methodologies, volatility and covariance matrix estimation, and portfolio stress testing & scenario analytics.  These models span a wide variety of asset classes including fixed income, equity, and private markets.  The models utilize sophisticated econometric/statistical methods, and are used by traders, portfolio managers and risk managers at BlackRock and Aladdin clients for risk management, portfolio construction, regulatory reporting, compliance and performance attribution. 

This individual would have a strong background in quantitative research and is expected to work in a team environment with senior modelers from other groups/regions, partners from engineering and validation teams to implement models, and to work with model users to communicate and facilitate model adoption. This person is expected to join as an individual contributing to the design and development of our private market risk models, ranging from private equity, real estate equity, infrastructure equity to private debt etc. 

Key Responsibilities 

• Conduct empirical research to calibrate new models to financial data 

• Backtesting, documenting, and guiding new models and methodologies through validation 

• Partner with engineering teams to migrate private markets models onto state-of-art production systems 

• Build and maintain model governance controls, including (but not limited to) model performance monitoring, model documentation, model remediations and supporting internal & external client model validations 

• Communicate (verbally and in writing) with internal stakeholders and external clients on the design, backtesting, and usage of the models. Discuss model performance regularly, investigate exceptional model performance, diagnose issues and conduct corrective remediations 

Qualifications 

• 1-3 years of experience in quantitative field / statistical modeling. Experience with one or more of the following is preferred: portfolio risk factor models and analytics, private markets investments, domain knowledge about fixed income securities.  We will also consider candidates who hold PhD or master’s in financial engineering degree, candidates without prior work experience. 

• Master’s or PhD degree in a quantitative discipline or one that relates to application of quantitative techniques in finance (financial engineering, math finance, etc.) 

• A strong background in data-driven quantitative research, econometrics, and empirical asset pricing 

• Hands-on experience with statistical modeling through software (e.g., Python, R) and strong background in programming.  Proficiency with Python is required 

• Experience with data handling (ETL, data joining with SQL, cleaning, processing, summarizing, descriptive analysis), and building and back-testing statistical and econometric models 

• Knowledge of investments, portfolio management is not required but preferred 

• Prior work experience in financial modeling (e.g., risk models, analytics, private markets) or data science and model deployment to production environment is a plus 

• Ability to work effectively with a team of highly motivated individuals 

• Positive attitude and ability to work both independently and as a part of a global team in a fast-paced environment 

• Excellent communication and presentation skills