Vice President, Portfolio Modeling Engineer

$150,000 - $180,000 yearly
  • The Resume Review - Recruiting Department
  • New York, NY, USA
  • Jan 12, 2022
Full time Accounting Finance

Job Description

About the Team
Come join a diverse and collaborative group of quantitative engineers in Portfolio Modeling team within the Financial Modeling Group (FMG). FMG is responsible for the research and development of the financial models underpinning this company's Aladdin platform. Our models span a wide array of financial products and enable analysis at many different levels – from analyzing the cash flows of a single bond to optimizing trade decisions across an entire investment portfolio or enterprise. These analytics empower users with accurate and flexible risk and investment insights – both across this company and for clients of Aladdin.
 
The Portfolio Modeling team is focused on building accurate, fast and scalable risk models and related analytical tools for investment portfolios across all asset classes. We pursue the unique dual challenges of quantitative modeling and software engineering. Specifically, we support the most sophisticated risk model bundle in the asset management industry, covering multi-factor risk models, liquidity models, value at risk(VaR) calculation, stress testing, portfolio optimization, and etc.
 
Meanwhile we maintain and evolve a quantitative software ecosystem as a pillar of Aladdin’s analytical capabilities - every day our system supports risk analysis and portfolio construction operations from thousands of investment accounts managed by BlackRock and its clients. In recent years, we kicked off a major system upgrade towards a cloud-based and API-compatible infrastructure. This initiative would fundamentally reshape our product offerings and open up numerous business opportunities. As a result, we are more excited than ever to invite new talents to join this endeavour.
 
As a team owning multiple essential models and products in the Aladdin community, we regularly coordinate with partners across the organization, from portfolio managers and client representatives to researchers, platform engineers and product managers. This brings in business vision and career opportunities of different kind. As a new jointer, you will receive in-depth training at the beginning, and as you become familiar with the team’s models and infrastructure, you are encouraged to deep dive in a particular domain to further progress in career. Besides, we are dedicated to a healthy, inclusive, and productive working environment. From desert breaks on Friday afternoons to team outings in state parks (on non-workdays), there will be many occasions to be yourself and recharge.
 
About the Role
The Portfolio Modeling team within FMG looks to hire an VP level quantitative engineer, who will majorly focus on risk modelling, portfolio analytics and quantitative software development.
 
Key responsibilities will include:
· Understanding risk modeling techniques.
· Building quantitative software to solve various type of risk analysis portfolio problems with accuracy and scale.
· Helping internal and external partners and clients understand our models and tools, and in some case analyzing their specific portfolio management problems.
· Conducting research on risk models or optimization algorithms to fulfil new use cases.
· Conducting platform engineering to leverage cloud-based data storage, parallel computing and REST API access.
· Engage with this company clients to promote adoption and usage of our models and tools.
 
Skills & Qualifications
· Undergraduate or advanced degree in mathematics, computer science, financial engineering or related fields.
· 6+ years of proven programming experience in Java
· Prior experience with enterprise software development, or complex research/engineering projects in academia.
· Familiarity with financial modeling concepts, including probability theory, linear algebra, asset pricing, investment risk analysis, and modern portfolio theory. (A good candidate would know some of these, maybe not all).
· Ability to apply existing algorithms or models to real-world investment or business problems.
· Willingness to communicate with partners of a diverse set of backgrounds.