Mortgage Research & Behavioral Modeling, VP

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • BlackRock
  • 13 Dec 17 2017-12-13

  BlackRock is a global leader in investment management, risk management and advisory services for institutional and retail clients. At December 31, 2016, BlackRock’s AUM was $5.1 trillion. BlackRock helps clients around the world meet their goals and overcome challenges with a range of products

 
BlackRock is a global leader in investment management, risk management and advisory services for institutional and retail clients. At December 31, 2016, BlackRock’s AUM was $5.1 trillion. BlackRock helps clients around the world meet their goals and overcome challenges with a range of products that include separate accounts, mutual funds, iShares® (exchange-traded funds), and other pooled investment vehicles. BlackRock also offers risk management, advisory and enterprise investment system services to a broad base of institutional investors through BlackRock Solutions®. As of December 31, 2016, the firm had approximately 13,000 employees in more than 30 countries and a major presence in global markets, including North and South America, Europe, Asia, Australia and the Middle East and Africa. For additional information, please visit the Company’s website at www.blackrock.com | Twitter: @blackrock_news | Blog: www.blackrockblog.com | LinkedIn: www.linkedin.com/company/blackrock 


Business Unit Overview:
The Financial Modeling Group (FMG) is responsible for the research and development of financial models underpinning the risk management analytics produced at BlackRock. The group also contributes to the infrastructure and software responsible for the production of 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.


Job Purpose/Background:
The Financial Modeling Group focuses on developing mathematical and behavioral models in valuation and risk management, covering asset classes including but not limited to Fixed Income, Equity, and Alternatives. This role focuses on Macroeconomic and Behavioral Modelling in support of multiple asset classes.
 
Development Value:
The position will focus on Macroeconomic and Behavioral modeling, as well as technology of risk analytics related to multiple asset classes, including Fixed Income, Equity, and Alternatives. 
In addition, FMG offers learning opportunities in both portfolio management and risk management at the corporate level.


Key Responsibilities:

  • Using statistical, econometric and machine learning techniques to model macroeconomic quantities and behaviors of that inform the valuation and risk for numerous asset classes, including Consumer Assets (e.g., mortgages), Wholesale Credit, and Alternatives.
  • Communication of relevant modelling choices and their impact to affected clients, both internal and external 
  • Validation, Testing, and Documentation of model choices
  • Guiding the implementation of such models into the Aladdin platform
  • Will have the opportunity to work on high-profile projects that will expand their knowledge and skills, as well as benefit BlackRock and its clients
  • Will also help with maintenance and support of our existing models. More importantly, will help lead Research and Development efforts on a new generation of Macro Models.  
  • Develop models using various technologies and quantitative concepts to deliver on the objectives of the group.



Knowledge/Experience: 
  • A PhD-level education with a focus on economics, econometrics, statistics, or mathematics is required. Some academic exposure to finance is also highly desirable.
  • Prior Experience of 3-5 years in econometric and statistical modeling, with a focus on Time-Series and Panel Data problems. Fluency with Vector Autoregression techniques is essential.
  • Exposure to modeling technologies like R/SAS with good command over SQL and UNIX.
  • C/C++/Java/Perl/Python programming skills and exposure to Big Data tools are highly desirable and a comfort with machine learning methods is preferable
  • Must be able to write and understand complex financial algorithms for prototyping models and applications with minimal supervision.
  • Work with other FMG members to develop new models. Own the deployed models and verify the outcomes to be consistent.
  • Strong analytical skills, attention to detail, and the ability to work as part of a team in a fast-paced environment.
  • Interest towards learning about new technologies and tools.
  • Excellent interpersonal, leadership, and oral and written communication skills are also required

Skills/Qualifications:
  • Good statistical programming knowledge with quantitative development and modeling exposure.
  • Strong quantitative skills with good knowledge of statistics econometrics.
  • Strong desire to apply these skills to address financial problems and issues that BlackRock encounters in the course of business
  • Good Knowledge of Analytical Tools 

Competencies:
  • Strong analytical skills, attention to detail and strong work ethics
  • Possess a positive attitude and ability to work as part of a team in a fast-paced environment
  • Possesses excellent communication and presentation skills
  • Possesses excellent creative and analytical skills
  • Organized in carrying out the responsibilities, possess strong time management skills and should be high on focus
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.