Associate, Portfolio Modeling

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’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.

Business Unit Overview:
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 multiple quantitative researchers in various fields of expertise for roles across our teams. The researchers’ primary job responsibilities are to develop methodologies, models, and analytics to help portfolio and risk managers to better conduct valuation or manage risks and rewards at both security and portfolio level. We are specifically hiring for the following teams.

Corporate and Structured Credit Modeling team:

This team specifically is building out a new unified framework/platform for modeling credit across many asset classes, including corporates, CLOs, and CMBS. Of particular focus will be the modeling of private credit, including direct-to-consumer loans, leverage loans, commercial mortgage loans. The team is building innovative models and methodologies across these asset classes in a very collaborative setting. This unified credit framework is used in CCAR, CECL, risk management, and portfolio construction.
 
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. 

For the Credit Modeling team, the requirements are:
•    PhD in Finance, Statistics/Econometrics, Economics or other relevant quantitative disciplines.
•    Hands-on experience with time-series analysis /panel data
•    Demonstrated ability to conduct high quality empirical research or theoretical research relevant for empirical analysis. Knowledge of credit markets is a plus but not required.
•    Able to communicate quantitative information and collaborate effectively in a team environment.
•    Solid programming skills in Python and a drive and ability to quickly pick up new technologies. Exposure to Git, Unix, SQL, or any high-performance computing language is a plus but not required.

The Portfolio Simulation Research team:

This team specifically is buil