Quantitative Researcher (PhD - Portfolio Risk Research) - New York
Description About this role
Elevate your career by joining the world's largest asset manager! Thrive in an environment that fosters positive relationships and recognizes outstanding performance! We know you want to feel valued every single day and be recognized for your contribution. At BlackRock, we strive to empower our employees and effectively engage your involvement in our success. Business Unit Overview:
Come join a diverse and collaborative team of researchers at the Financial Modeling Group (FMG) who are responsible for the research and development of financial models underpinning the risk management and relative value analytics produced at BlackRock. The group also contributes to the infrastructure platform 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.
The role is based onsite in our New York office. Key Responsibilities:
The Portfolio Risk Research team
specifically is tasked with inventing and exploring new ways for analyzing risk and return, both for BlackRock and external clients. New models and methodologies potentially impact up to 20 tln in assets through the Aladdin platform.
Examples of current projects are:
Explore how demand system asset pricing can be used for scenario analysis and new risk analytics
Develop models and methodologies to analyze and predict the cash flow risks in private assets
Use Machine Learning techniques to predict very large multi-horizon covariance matrices across all asset classes
Develop a dynamic programming algorithm for optimization with private assets (investment is indirect and slow)
Doing theoretical research to come up with new, or find existing models and methodologies in the risk space, across multiple asset classes.
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. Skills & Qualifications
PhD in Finance, Statistics/Econometrics, Economics or other relevant quantitative disciplines.
Hands-on experience with frequentist and/or Bayesian statistics in time-series analysis, and/or basic machine learning techniques.
Demonstrated ability to conduct high quality empirical research or theoretical research relevant for empirical analysis.
Able to communicate quantitative information and collaborate effectively in a team environment.
Solid programming skills in Python, R or Matlab and a drive and ability to quickly pick up new technologies. Exposure to Git, Unix or SQL is a plus.
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. 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 careers.blackrock.com | www.blackrock.com/corporate | Instagram: @blackrock | Twitter: @blackrock | LinkedIn: www.linkedin.com/company/blackrock
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, sexual orientation, gender identity, disability, protected veteran status, and other statuses protected by law.
BlackRock will consider for employment qualified applicants with arrest or conviction records in a manner consistent with the requirements of the law, including any applicable fair chance law.