Portfolio Modeling - Vice President

Portfolio Modeling – Vice President

master with 3+ YOE in Financial Engineering, Mathematics Finance or PhD in Mathematics, Statistics/Econometrics, Science, or other relevant quantitative disciplines
Hands-on experience with frequentist and/or Bayesian statistics in time-series analysis
Knowledge of machine learning
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 and a drive and ability to quickly pick up new technologies

Doing theoretical research to come up with new or find existing models and methodologies in the pricing and risk space, across multiple asset classes including private assets
Doing empirical research to calibrate new models to financial data
Backtesting, documenting, and guiding new models and methodologies through validation
Implementing and maintaining production codebase
Owning the model and managing the use cases in front of stakeholders
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 team 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

Knowledge of financial mathematics (derivatives pricing) is a plus but not required
Exposure to Git, Unix, or any high-performance computing language is a plus but not required
Exposure to PyTorch/TensorFlow/Jax is a plus but not required
Exposure to private equity, private credit, Kalman filter/smoother is a plus but not required