Security Modeling - Associate

New York, NY

Full-time

Hybrid

$138K/yr - $170K/yr

New Grad, Entry Level

BlackRock is an innovative team within the Single Security Pricing area, specializing in crafting sophisticated risk and valuation models. The role involves model governance, developing model surveillance frameworks, and collaborating with validation teams to enhance pricing models.

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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

Qualification

Required

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
You are expected to have the expertise to develop Python applications leveraging in-house Python/C++ libraries
An Analytical Frame of Mind: keen interest in solving analytical problems is key
Excellent Communication Skills: you will be interacting with other teams in the firm