Portfolio Risk Modeller, Associate

Role Description

The Aladdin Financial Engineering (AFE) team is responsible for the research and development of financial models underpinning the risk management analytics produced at BlackRock.The group also contributes to the infrastructure and software responsible for the production of analytics and the delivery of analytic content to portfolio and risk management professionals both within and outside BlackRock. Given the diversity of business objectives among Aladdin clients and within BlackRock itself the models developed and supported span a wide array of financial products, ranging from equity to fixed income and alternatives. In addition, members seek to provide analysis and insight on many different levels from analysis of single name securities to the overall financial risk associated with an entire portfolio.

The Modelling Research team in AFE is looking for a portfolio risk modellerto join the Budapest team to contribute to Aladdinrisk analytics, models and governance. These analytics are used to provide risk oversight on BlackRock investment strategies and Aladdin clients, andalso being deployed for use in portfolio construction purposes.

Job Responsibilities

The successful candidate will be expected to join as an individual contributor, working onour risk analytics, models and governance.

The Portfolio Risk team builds a range of models and analytics including linear factor models, Value-at-Risk (VaR) methodologies, volatility and covariance matrix estimation and portfolio stress testing & scenario analytics.  Our models use sophisticated econometric/statistical methods and tools.  The models themselves have real practical value and are used by traders, portfolio managers and risk managers and influence investment activity.  These models have a very large footprint of usage across the entire Aladdin client base, and so we place special emphasis on implementing models that scale with our growing Analytics’ business, and ensuring adherence to BlackRock’s rigorous standards of model governance.  This individual would be primarily focused on analytics project work, whilst working in conjunction with modelers in the global team. 

Key Skills & Qualifications & Competencies

• Research/Analytics professional with an advanced degree in a quantitative discipline – master/Phd’sin a technical field (Econometrics, Finance, Maths, Statistics, Physics, Engineering)

• 2+ years relevant working experience or research experience at PhD level

• Strong programming skills and experience using Python to conduct mathematical/econometric analyses

• Strong knowledge of mathematical and statistical theory

• Strong interest in financial market

• Strong oral and written (English language) communication skills that enable complex ideas to be readily understood by team members and clients

• Enthusiasm, flexibility, and maturity to adapt to the needs of a dynamic group and deliver within strict timeframe

• Good time management skillsincluding the ability to handle multiple projects