Associate, Liquidity Risk - Modeling & Infrastructure

  • Not Specified
  • Gurgaon, Haryana, India
  • Permanent, Full time
  • BlackRock
  • 14 Oct 18

Data Science and Liquidity Risk Modeling

BlackRock helps investors build better financial futures. As a fiduciary to our clients, we provide the investment and technology solutions they need when planning for their most important goals. As of June 30, 2018, the firm managed approximately $6.3 trillion in assets on behalf of investors worldwide. For additional information on BlackRock, please visit www.blackrock.com | Twitter: @blackrock | Blog: www.blackrockblog.com | LinkedIn: www.linkedin.com/company/blackrock.

Job Description:

Job Purpose/Background:

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.

Role Description:

This individual will be part FMG’s Portfolio Modeling team with focus towards Liquidity Risk modeling & Infrastructure. The individual will work with risk managers, financial engineers, traders and application developers to develop and support data and models used to measure liquidity, trading costs, market impact and capacity across fixed income markets.

The individual will focus on developing a team and tools to review & validate trading, security and risk data and build BlackRock’s liquidity models. Models are developed and maintained in a BlackRock’s data science infrastructure leveraging machine learning techniques to measure liquidity risk. The role will require hands-on programming (e.g., Scala, Python, and R) and knowledge of data science technologies (e.g., Hadoop, Spark etc.) and data visualization solutions. In addition the role also requires knowledge of core technologies to help productionize these models.

Key Job Responsibilities:

This individual will join a quantitative data team in investment risk that will work alongside financial modelling to develop and support the daily liquidity data and model environment, including:

  • Evaluate trading data, including pre-processing, feature engineering, variable selection, dimensionality reduction etc.
  • Design, develop, evaluate and monitor predictive models that help business drive their decisions.
  • Leverage machine learning to extract insights from data and work with risk managers to put those into action.
  • Work closely with risk managers & technology to evaluate new and alternate data sources as well as tool/techniques.
  • Algorithmic quality control process to detect, escalate and fix data anomalies.
  • Visualization tools to enable traders & risk managers evaluate performance and risk measures.

Experience, Skills and Qualification:

Candidates should have experience or interest in tackling data-related finance issues, analytics and reporting. The candidate is required to have outstanding business, communication, presentation and leadership skills. An attention to detail, strong work ethic and ability to work as part of a team in fast paced environment are other important characteristics.

Representative skills include the following:

  • 5+ years of proven and relevant experience in at least two of the following: Scala, R, C++, Python, SQL, Hive or similar
  • Experience in computational statistics, in particular applications of machine learning and natural language processing to finance
  • Knowledgeable about data modeling, data access, and data storage techniques
  • Passionate about creating clean code and have a strong foundation in coding and building data pipelines
  • Familiarity with cloud computing platforms and distributed compute engines a plus.
  • Familiarity with Apache (Cassandra, Spark, Storm, Kafka) a plus
  • Knowledge of fixed income and credit instruments and markets a plus.
  • Knowledge of market data tools such as Reuters, Bloomberg, IDC, etc. (desirable).
  • Proven track record working on projects that include a significant technology delivery component
  • Strong organizational and interpersonal skills.
  • Ability to multi task and prioritize work in a fast-paced environment
  • Flexible work schedule

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, sexual orientation, gender identity, disability, protected veteran status, and other statuses protected by law.

BlackRock will consider for employment qualified applicants with criminal histories in a manner consistent with the requirements of the law, including any applicable fair chance law.