Senior Equity Risk Modeling Researcher
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 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.
Job Description
Risk Quantitative Analysis in an independent group within BlackRock that provides risk management oversight while also seeking to improve investment outcomes. RQA is looking for a senior equity risk modeling researcher to manage a team responsible for developing BlackRock's proprietary equity risk models. These models are used in portfolio risk management, performance attribution, and portfolio construction.
The primary job responsibility is to lead the research and model development effort required for building and maintaining BlackRock's suite of global and regional equity fundamental factor equity risk models. The candidate will be responsible for all aspects of equity risk model development including:
- Manage a team of modelers providing requirements, setting timelines, mentor junior members of the team
- Building and backtesting the factor models in the research statistical computing environment (e.g. SAS, R, Matlab)
- Writing detailed model specifications for implementation by the programming team in the BlackRock production code environment.
- Communicating with senior risk and portfolio managers to specify and design new functionality
- Writing white papers to describe model calibration and methodology
- Collaborating with other risk modelers and developers to integrate equity risk models into the broader suite of BlackRock portfolio risk models covering all asset classes and into BlackRock's proprietary optimization and portfolio construction tools
Skills Qualifications
- Ph.D. or advanced degree in finance, physics, mathematics, statistics, operations research, economics or another quantitative discipline is preferred
- Experience designing, implementing and testing equity portfolio risk models
- Extensive experience with SAS programming, SAS statistical analysis, and working with large databases
- Effective written and verbal communication skills. The candidate must be able to persuade and influence senior management and investment professionals
- Prior experience with financial data (e.g., Compustat, IBES, CRSP), analysis tools (e.g., FactSet, Bloomberg), other statistical software (e.g. R, MATLAB), and knowledge of programming languages (e.g. C++, Perl, SQL) is a strong plus.
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