Mortgage Research & Behavioral Modeling, VP - Time-Series and Panel Data

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • BlackRock
  • 18 Jan 18 2018-01-18

Who We Are Security Analytics Infrastructure (SAI) is a newly-formed team within BlackRock Solutions’ Financial Modeling Group (FMG). We are focused like a laser beam on the implementation and optimization of a wide variety of pricing models running the gamut from securitized products to interest

Who We Are

Security Analytics Infrastructure (SAI) is a newly-formed team within BlackRock Solutions’ Financial Modeling Group (FMG). We are focused like a laser beam on the implementation and optimization of a wide variety of pricing models running the gamut from securitized products to interest rate and FX derivatives. We are also responsible for turning raw model outputs such as pathwise rate projections and prepayment speeds into analytics including yields, spreads, durations and greeks, as well as for crafting the interfaces through which models are invoked by downstream applications.

SAI is a global team with a substantial presence in Budapest, India and New York whose collegial culture values openness, creativity and an attention to detail bordering on the fanatical. The analytical engines we own are woven deeply into the investment and risk management processes of BlackRock, the world’s largest asset manager with an AUM of nearly six trillion dollars. They are also a critical component of the Aladdin Platform, which serves as an operating system for institutional investors collectively managing twenty trillion dollars.

What You Will Be Doing

  • Quantitative Development: Maintain and enhance existing cashflow generators for securitized products such as pass-throughs, CMOs and CLOs, as well as prepayment, severity and default models. Expand product and market coverage to address evolving client needs by implementing and releasing new models and analytics.
  • Analytical Infrastructure: Optimize analytical engines to turbo-charge performance and make previously intractable use cases feasible. Refactor code to improve its testability, modularity and scalability. Design APIs to provide clients with new ways to leverage our models.
  • Research: Keep abreast of recent technological trends such as cloud computing and GPUs. Create value by bringing them to bear on the thorniest problems faced by the business.

What We Look For

  • A Degree in a Technical Field: An undergraduate degree is required. An advanced degree is a plus, but intellectual curiosity matters more than formal qualifications.
  • A Passion for Programming: Programming sits at the heart of everything we do. You must thoroughly enjoy it to succeed on this team.
  • Exposure to an “industrial strength” Programming Language: While C++ is our language of choice, experience with writing performance-critical production code is what we are really after.
  • An Analytical Cast of Mind: Whether you have a PhD in Physics or merely read Math and CS books for fun, a keen interest in using technology to solve quantitative problems is key.
  • Excellent Communication Skills: You will need to communicate clearly and effectively with far-flung colleagues and will be called upon to explain complex concepts to non-technical audiences in simple, intuitive terms.
  • A Sense of Humor: We don’t take ourselves too seriously. Hopefully neither do you.

 

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.