BlackRock Associate CMBS / CLO Modeling (Mortgage / Big Data)

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • BlackRock
  • 25 Sep 16

BlackRock Associate CMBS / CLO Modeling (Mortgage / Big Data)

Business Unit Overview:
The Financial Modeling 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 clients and within BlackRock itself the models developed and supported by the Financial Modeling Group 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.

Job Purpose/Background:
The Financial Modeling Group focuses on developing mathematical and behavioral models in valuation and risk management, covering asset classes including but not limited to Fixed Income, Equity and Alternatives. This role focuses on the development of fixed income analytics and models, particularly commercial real estate mortgages and collateralized loan obligations as well as macroeconomic models, like residential home price, and unemployment.

Development Value:
The position will get a deep understanding of the business knowledge that makes our analytics valuable for risk management and trading.

Key Responsibilities:

  • Develop financial models for commercial real estate, commercial real estate backed securities and collateralized loan obligations
  • Conduct model development through statistical analysis on large datasets
  • Perform back-testing of commercial real estate, commercial real estate mortgage backed securities and collateralized debt obligations credit risk models
  • Maintain and support of our existing models
  • Provide modeling, model validation and analytical supports to internal and external clients
  • Develop visualization tools to improve transparency for the existing and new models

Knowledge/Experience:
  • A graduate level education with a focus on statistics, econometrics, economics, finance, financial engineering, mathematics, engineering or other related quantitative fields
  • Prior Experience of 2 to 4 years in developing financial models for commercial real estate, commercial real estate backed securities or collateralized loan obligations
  • Must have extensive experience in estimating econometric models and working with large loan level data set. Fluency in R, Splus, or SAS skills required
  • In-depth knowledge on multi variants regression, machine learning, data visualization and big data tools are highly desirable. Hadoop/Spark/Python/C++/SQL/Perl programming skills and experience are plus.
  • Deep understanding of mortgage market and fixed-income finance, relative value, and risk management are required
  • Strong analytical skills, attention to detail, and the ability to work as part of a team in a fast-paced environment.
  • Interest towards learning about new technologies and tools.
  • Excellent interpersonal, leadership, and oral and written communication skills are also required

Skills/Qualifications:
  • Excellent knowledge of statistics and mathematical modeling
  • Good programming knowledge with quantitative development a plus
  • Strong desire to apply these skills to address financial problems and issues that BlackRock encounters in the course of business.

Competencies:
  • Strong analytical skills, attention to detail and strong work ethics
  • Possess a positive attitude and ability to work as part of a team in a fast-paced environment
  • Possesses excellent communication and presentation skills
  • Possesses excellent creative and analytical skills
  • Organized in carrying out the responsibilities, possess strong time management skills and should be high on focus

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.