Director, Single Security Modeling

Key Skills

C++, Design, Machine learning techniques, Perl Programming, Python Programming, R Programming, SPARK Programming, SQL

Job Description

We are seeking a Director level quant researcher to join the single security modeling team within Aladdin Financial Engineering Group at BlackRock covering the consumer asset-backed securities (ABS) modeling space. This individual would have a strong background in quantitative research, statistical modeling and machine learning.

Key Responsibilities

• Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching, implementing, and rolling out new models and analytics.

• Develop, maintain and enhance existing consumer ABS models.

• Model Infrastructure: Design APIs to provide clients with novel ways of leveraging our models. Refactor existing analytical code to make it more modular and scalable.

• Analytical Support: Participate in external client calls and on-site visits in support of the Aladdin business.

• Thought Leadership: Keep abreast of recent trends in technology, quantitative finance, capital markets and regulation. Bring the latest techniques to bear on the problems we face in our day-to-day work.

Qualifications

Required:

• Experience Financial Research professional with a Degree in a Quantitative Field and a minimum of 15+ years of relevant experience. An undergraduate degree in finance, econometrics, statistical analysis, or advanced math is required. An advanced degree is a desired.

• In depth knowledge of mortgage and asset-backed products and Deep understanding and experience in implementing pricing methodologies (e.g., backward induction, Monte Carlo)

• Experience of R/Python Programming and Spark/C++/SQL/Perl skills are a plus.

• Familiarity with the calibration processes for prepayment models

• Confident in building models to solve problems including time series forecasting, clustering problems and hands on experience with a range of statistical and machine learning approaches.

• Implement the model and integrate the model into Aladdin analytical system in accordance with BlackRock’s model governance policy.

Preferred:

• Understanding of risk decomposition.

• Ability to explain complex solutions to non-technical audiences.

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, disability, veteran status, and other statuses protected by law.

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.