Director, Model Governance

About this role

Job Description

Position: Director – Economic Scenario Simulation - Aladdin Financial Engineering

Corporate Title: Director

Location: Budapest  

BlackRock Company Description:

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.

About Aladdin Financial Engineering (AFE):

Join a diverse and collaborative team of over 400 modelers and technologists in Aladdin Financial Engineering (AFE) within BlackRock Solutions, the business responsible for the research and development of Aladdin’s financial models. This group is also accountable for analytics production, enhancing the infrastructure platform, and delivering analytics content to portfolio and risk management professionals (both within BlackRock and across the Aladdin client community). The models developed and supported by AFE span a wide array of financial products covering equities, fixed income, commodities, derivatives, and private markets. AFE provides investment insights that range from an analysis of cash flows on a single bond, to the overall financial risk associated with an entire portfolio, balance sheet, or enterprise.

Role Overview:

We are looking to hire a senior quantitative modeler to join our Economic Scenario Simulation (ESS) team.  This team is responsible for building and maintaining a new engine for jointly simulating global macro-economic variables, drivers of financial markets (‘risk factors’), and individual assets. The team is building and connecting innovative models and methodologies across these spaces in a Bayesian framework. The ESS engine is used by BlackRock and Aladdin clients for scenario analysis, portfolio construction and strategic asset allocation.

This individual would have a strong background in quantitative research, have demonstrable project management skills as well as proven experience to work in a team environment, guiding junior modelers and engineers, as well as collaborating with senior modelers from other groups/regions. This person is expected to join as an individual contributor leading all aspects of model governance for ESS and gradually grow into a management role providing regional representation of ESS to internal stakeholders and Aladdin client in the EMEA region.

Key Responsibilities

• Lead model governance for Aladdin ESS model suite
• Building and maintaining model governance controls for the ESS model suite, including (but not limited to) model performance monitoring, model documentation, model remediations and supporting internal & external client model validations
• Communicate (verbally and in writing) with internal and external clients on model performance regularly, investigate exceptional model performance, diagnose issues and conduct corrective remediations
• Doing empirical research to calibrate new models to financial data.  Backtesting, documenting, and guiding new models and methodologies through validation
• Collaborate on papers for publication, presenting research at industry conferences, and speaking with institutional clients about relevant research
• Additional job responsibilities may include working with portfolio investment teams on bespoke projects supporting their investment processes or working with financial advisory teams on modeling projects for bespoke products

Qualifications

• Research/Analytics professional with 10+ years of solid industry experience in quantitative/statistical modeling
• PhD/Master’s in Mathematics, Statistics/Econometrics, Financial Engineering or other relevant quantitative disciplines
• Hands-on experience with frequentist and/or Bayesian statistics in time-series analysis
• Experience with macro-economic models OR experience with machine learning such as neural networks
• Experience with Model Risk / Model Governance practices is a plus but not required
• Demonstrated ability to conduct high quality empirical research or theoretical research relevant for empirical analysis
• Possesses a positive attitude and ability to work both independently and as part of a team (within a department or in an inter-departmental/global setting), in a fast-paced environment
• 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. Experience with Git and Unix. Exposure to SQL or any high-performance computing language is a plus but not required. Exposure to PyTorch/TensorFlow/Jax is a plus but not required

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.

Our benefits

To help you stay energized, engaged and inspired, we offer a wide range of employee benefits including: retirement investment and tools designed to help you in building a sound financial future; access to education reimbursement; comprehensive resources to support your physical health and emotional well-being; family support programs; and Flexible Time Off (FTO) so you can relax, recharge and be there for the people you care about.

Our hybrid work model

BlackRock’s hybrid work model is designed to enable a culture of collaboration and apprenticeship that enriches the experience of our employees, while supporting flexibility for all. Employees are currently required to work at least 4 days in the office per week, with the flexibility to work from home 1 day a week. Some business groups may require more time in the office due to their roles and responsibilities. We remain focused on increasing the impactful moments that arise when we work together in person – aligned with our commitment to performance and innovation. As a new joiner, you can count on this hybrid model to accelerate your learning and onboarding experience here at BlackRock.

About BlackRock

At BlackRock, we are all connected by one mission: to help more and more people experience financial well-being.  Our clients, and the people they serve, are saving for retirement, paying for their children’s educations, buying homes and starting businesses. Their investments also help to strengthen the global economy: support businesses small and large; finance infrastructure projects that connect and power cities; and facilitate innovations that drive progress.

This mission would not be possible without our smartest investment – the one we make in our employees. It’s why we’re dedicated to creating an environment where our colleagues feel welcomed, valued and supported with networks, benefits and development opportunities to help them thrive.

For additional information on BlackRock, please visit @blackrock | Twitter: @blackrock | LinkedIn: www.linkedin.com/company/blackrock

BlackRock is proud to be an Equal Opportunity Employer.  We evaluate qualified applicants without regard to age, disability, race, religion, sex, sexual orientation and other protected characteristics at law.