Vice President, Model Risk Management, Model Validation Team
Description About this role Business Overview
BlackRock's Risk & Quantitative Analysis (RQA) group provides independent oversight of BlackRock's fiduciary and enterprise risks. The Enterprise Risk team within RQA oversees those risks which directly impact the corporate entity (i.e. BlackRock, Inc., or one of its subsidiaries), rather than the fiduciary risks assumed by funds/clients, such as investment risks and counterparty risks. The team's focus includes but is not limited to: operational risk, technology, vendor, model and market risk, stress testing for market risk and the quantitative estimation of capital adequacy requirements. Model Risk Management
The Global Model Risk Management function within the Enterprise Risk team is responsible for developing the firm-wide Model Risk Management framework and the implementation of the framework across BlackRock. The Model Validation team is an integral part of the Model Risk Management Team.
Key responsibility of the Model Validation team is performing independent reviews of models. The team works with the model owners and other stakeholders (e.g. model users; governance representatives etc.) and provide effective challenge to the model's methodology and testing, focusing on the usage of the models. Responsibilities:
- Evaluate conceptual soundness of models by evaluating the model theory (incl. model assumptions, limitations), model construction and model testing in relation to the known model use cases
- Determine optimal testing plan for validated models and assess sufficiency and adequacy of testing performed by model owners
- Escalate identified risks or gaps in the models' methodology and testing
- Where necessary, perform independent testing of models
- Assess already documented model limitations and identify any new limitations that arise through the validation process
- Write comprehensive validation documentation (reports) for validated models
- Communicate model validation conclusions to relevant stakeholders and evaluate model remediation actions
- Advanced Degree (MS, PhD) in a quantitative discipline
- Experience in quantitative model development or validation
- Understanding of risk models and methodologies including market risk and stress testing
- Programming experience in one or more environment such as R, MATLAB, Java, SAS, Python, SQL, VBA
- Knowledge of one or more asset classes such as equity, fixed income, or multi-asset products
- Strong analytical, critical thinking, and problem solving skills
- Ability to communicate results with impact both in written (reports) and oral (presentation) ways
- Ability to communicate sophisticated quantitative results for a wider audience
- Enthusiasm and energy combined with a clear sense of how to "make it happen" through teamwork, engagement and commitment
- Excellent communication and presentation skills and an ability to work with all levels of the organization
- Ability to effect change in collaboration with key business and risk partners
- Fluent in spoken and written English
. Our benefits
To help you stay energized, engaged and inspired, we offer a wide range of benefits including a strong retirement plan, tuition reimbursement, comprehensive healthcare, support for working parents and Flexible Time Off (FTO) so you can relax, recharge and be there for the people you care about. About BlackRock
BlackRock's purpose is to help more and more people experience financial well-being. As a fiduciary to investors and a leading provider of financial technology, our clients turn to us for the solutions they need when planning for their most important goals. As of September 30, 2020, the firm managed approximately $7.81 trillion in assets on behalf of investors worldwide.
For additional information on BlackRock, please visit www.blackrock.com/corporate | Twitter: @blackrock | LinkedIn: www.linkedin.com/company/blackrock .
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 arrest or conviction records in a manner consistent with the requirements of the law, including any applicable fair chance law.