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Associate – Quantitative Modeler
| Company | BlackRock |
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| Location | New York, NY, USA |
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| Salary | $132500 – $162000 |
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| Type | Full-Time |
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| Degrees | Bachelor’s |
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| Experience Level | Junior, Mid Level |
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Requirements
- An undergraduate degree in a quantitative field such as Math, CS, Engineering or Physics is required.
- 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.
- Expertise in Python and familiarity with C++ is needed.
- An Analytical Frame of Mind: keen interest in solving analytical problems is key.
- Excellent Communication Skills: ability to explain research and results to non-technical counterparts.
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.
Preferred Qualifications
- An advanced degree is a plus, but understanding of modeling is more important than formal qualifications.
