BlackRock FMG Portfolio Modeling – Portfolio Risk Associate in Budapest, Hungary
BlackRock is one of the world’s preeminent asset management firms and a premier provider of global investment management, risk management and advisory services too 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.
At BlackRock we are building something great in Budapest, our new global technology and Innovation hub, where we want to shape a culture in which challenge, development and innovation happen every day. Our mission as an organisation is create a better financial future for our clients and BlackRock Budapest will enable this, through a relentless drive to make ourselves and our communities better. We are a diverse bunch of people who like to analyse, reinvent, and enhance how we work, and all in the pursuit of a better experience for our colleagues and clients. We offer The excitement to be a founder in a start-up with the security of a global, leading organization, where you will find innovation and inclusion are our competitive advantages. There are limitless problems to solve and opportunities for learning and development, alongside a team of clever and caring colleagues. Our culture is one of respect, challenge and stretch and we expect and value feedback. We believe that people reach their best potential when the different facets of their home, work and community are all cared about. We will have a fun, fast paced work environment located in cutting edge facilities, with competitive and innovative benefits, and the ability to define your role, pursue your aspirations and shape your future within Hungary and beyond.
The Financial Modelling Group (FMG) 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 BlackRock Solutions (BRS) clients and within BlackRock itself the models developed and supported by FMG span a wide array of financial products, ranging from equity to fixed income to derivatives. In addition, members of FMG seek to provide analysis and insight on many different levels from analysis of the cash flows of a single bond to the overall financial risk associated with an entire portfolio, enterprise or balance sheet.
The Portfolio Modelling team in FMG is looking for a portfolio risk model researcher to contribute to the research and model development effort required for building and maintaining BRS’ suite of risk models. These models are used to provide risk oversight on BlackRock investment strategies and BRS Aladdin clients. The models are also being deployed for use in portfolio construction purposes.
The candidate will be performing duties related to all aspects of portfolio risk model research and development:
• Collaborating with senior researchers and developers to specify, design and test new model functionality
• Building and testing additional risk models in the research environment (Git, Unix, R, SAS)
• Keeping abreast of the latest research in industry and academia, and leveraging these insights to enhance the suite of models
• Presenting research to other team members, business owners and BRS Aladdin clients
• Assisting senior team members to prepare white papers and presentations to describe model calibration and methodology, and to showcase model functionality for clients
• Supporting existing risk models in production; developing and improving model quality control and model back-testing procedures
• Investigating and resolving BAU client queries relating to model methodology and functionality
• Collaborating with other risk modellers and developers to integrate the risk models into the broader suite of BlackRock portfolio risk analytics covering all asset classes.
Key Skills & Qualifications
• A further degree (MA, MSc, or PhD/DPhil) in a quantitative subject (Econometrics, Finance, Statistics, or similar)
• Relevant work experience in the financial industry is preferred (Buy-side, Market Risk modelling, or Market Risk management is highly advantageous)
• Strong oral and written (English language) communication skills that enable complex ideas to be readily understood by team members and clients
• Experience using statistical languages (R, Python, SAS) to conduct statistical/econometric analyses, and working with large relational databases
• Experience of applying statistical/machine learning and/or text mining to equity data is highly advantageous
• Enthusiasm, flexibility and maturity to adapt to the needs of a dynamic group and work to strict deadlines
• Demonstrable interest in financial markets and/or market risk modelling (e.g. regular attendance at financial conferences, lectures and/or reading papers, articles and journals)
• Prior experience with financial data (e.g. Thomson Reuters – Datastream, Worldscope, IBES) and other statistical software (e.g. R, MATLAB, S-Plus, Maple)
Additional Skills & Qualifications of Value
• Knowledge of multi-factor risk modelling, risk-return analysis, and/or portfolio construction in an investment management context
• Knowledge of programming languages (e.g. Java, C , Perl); UNIX operating system; Excel/VBA; analysis tools (e.g., Bloomberg, Factset) and/or Financial Accounting is strong plus
Job Function: Analytics
Title: FMG Portfolio Modeling – Portfolio Risk Associate
Primary Location: EMEA-Hungary-Budapest
Requisition ID: 172340
Job Posting: Aug 2, 2017, 10:09:47 AM
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