Quantitative Analyst, Model Governance, Associate New York, NY

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. 

Who We Are 

Quantitative Modeling and Research (QMR) is an innovative team within Single Security Pricing (SSP) area. We specialize in crafting sophisticated risk and valuation models that span a diverse range of products, including interest rates, FX, inflation, equity, and credit. Our mission goes beyond traditional quantitative models; we are at the forefront of exploring novel modeling techniques, such as neural networks, to tackle complex problems in quantitative finance. 

What makes working on the team both challenging and rewarding: 

• Focus on business: We do not solve the math problem – we solve the business problem! 

• Breadth of product coverage: We support both BlackRock with over $11T AUM and Aladdin clients with trillions more. This is a tremendous breadth of products we need to cover.  

• Excellence in modeling and coding: We pride ourselves both on building great models and writing high quality code.  

• Collaborative environment: We have a lot of smart people on the team. Working here is a great chance to both learn and to teach others. 

 Job Responsibilities 

• Model Governance: work on the research and development of a model surveillance and model performance framework for the Single Securities Pricing Team (SSP), primarily focused on interest rate derivative models.  

• Responsibilities will include implementation and maintenance of the model surveillance and performance monitoring infrastructure for the models supported by the team.  

• Enhance model documentation for a suite of pricing models supported by the team.  

• Collaborate with the second line validation team in all aspects of model validation and compliance. 

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

• Closely collaborate with model owners to enhance the models based on findings.  

Qualifications  

• An undergraduate degree in a quantitative field such as Math, CS, Engineering or Physics is required. An advanced degree is a plus, but understanding of modeling is more important than formal qualifications.  

• Understanding of Fixed Income valuation and modelling concepts including but not limited to yield curve contraction techniques, risk-neutral pricing framework, and routes to calibrate the stochastic models. 

• Coding is at the heart of everything we do. Expertise in Python and familiarity with C++ is needed. You are expected to have the expertise to develop Python applications leveraging in-house Python/C++ libraries. 

• An Analytical Frame of Mind: keen interest in solving analytical problems is key. 

• Excellent Communication Skills: you will be interacting with other teams in the firm. The ability to explain your research and results to your non-technical counterparts in terms that they can follow is important.  

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.