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Quantitative Researcher - Financial Modeling Group

Quantitative Researcher - Financial Modeling Group
New York, US
128,000 - 145,000
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Job Description

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 Financial Modeling Group (FMG) 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. FMG conducts leading research on the areas above, delivering state-of-the-art models. FMG publishes applied scientific research frequently, and our members present regularly at leading industry conferences. FMG engages constantly with the sales team in client visits and meetings.

Key Responsibilities:

FMG 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.

Examples of team focuses include:

  • Using machine-learning techniques (tree-based, deep networks, NLP) to build similarity learning models as well as other recommender systems for various financial assets. This team works with both structured and unstructured data.
  • Building out an economic scenario simulation engine combining macroeconomic and financial modeling. This team relies heavily on Bayesian statistics using machine-learning architecture (pytorch, jax) and state space models, as well as financial mathematics for derivatives pricing.
  • Inventing and exploring new ways for analyzing risk and return, both for BlackRock and external clients. This includes extending our factors model, forecasting risk or tail risk in new ways, or inventing entirely new lenses to analyze risk such as looking at asset ownership data rather than the properties of the asset. 

Responsibilities include

  • Doing theoretical research to come up with new, or find existing models and methodologies across multiple asset classes and applications.
  • 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.
  • 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 (or alternatively R) 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.
  • Knowledge of financial mathematics (derivatives pricing) is a plus but not required for most teams.
  • Knowledge of machine-learning and associated tech stack is a plus but not required for most teams.

For New York City only: The salary range for this position is $128,000 – $145,000. Additionally, employees are eligible for an annual discretionary bonus, and benefits including heath care, leave benefits, and retirement benefits. BlackRock operates a pay-for-performance compensation philosophy and your total compensation may vary based on role, location, and firm, department and individual performance.

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 current hybrid work model is designed to enable in-person connections and collaboration that is core to our culture, while supporting increased flexibility for all employees. In line with local health guidance and regulations, employees are required to work at least 3 days in the office each week, with the flexibility to work from home up to 2 days a week. Some business groups may require more time in the office due to their roles and responsibilities. The health, safety and well-being of our people will always be our top priorities; we will continue to monitor local conditions and health advisories in making decisions about our work environments.

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