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About the team:
Come join a diverse and collaborative group of researchers in the Sustainability Research and Modeling team within the Financial Modeling Group (FMG). FMG is responsible for the research and development of the financial models underpinning BlackRock's Aladdin platform. The models developed by FMG span a wide array of financial products and enable analysis at many different levels - from analyzing the cash flows of a single bond to understanding the risks across an entire portfolio or enterprise. These analytics empower users with flexible, quantitative risk and investment insights - both across BlackRock and for clients of Aladdin.
The Sustainability Research team is focused on building innovative models to assess the financial impacts of climate change, climate policy and energy policy on large number of asset classes - from corporate equity and fixed income, to mortgages, municipal bonds, sovereign debt and alternative investments. As climate risks and sustainable investing become an ever-increasing focus for investors, we are developing the models and analytics to help drive a deeper understanding of risks and outcomes.
About the role:
FMG is looking for a quantitative researcher to join the Sustainability Modeling team. The researchers' primary job responsibilities are to develop methodologies, models and analytics to help portfolio and risk managers to assess climate change, climate policy and energy policy's impact on security and portfolio level valuation and risks.
Key responsibilities include:
Doing empirical research and calibrating statistical models of climate risk across asset classes at the portfolio level, or of mortgages, consumer loans, structured products and alternative investments at the security level
Back-testing, documentation and validation of empirical models
Collaborating on papers for publication and presenting original research at industry conferences
Communicating with clients on model factors, forecasts, performance, strength and weakness, and risk/valuation implications.
Additional responsibilities include working with portfolio management teams on projects supporting their investment processes; working with Financial Advisory teams on modeling projects for products or client whole-loan portfolios.
Skills & Qualifications:
Advanced degree in Environment Science, Energy Policy, Economics, Finance, Statistics or other quantitative discipline
Demonstrated ability to conduct high-quality empirical research or theoretical research relevant for empirical analysis
Strong background in applied econometrics, machine learning. empirical finance, macroeconomics, or other relevant studies in social and natural sciences
Able to communicate quantitative information and collaborate effectively in a team environment
Prior experience with statistical software (e.g., R, SAS, S-PLUS, MATLAB) and background in programming (e.g., Python, C++) is a plus
Exposure to Unix or SQL is a plus
Prior experience with large datasets and unstructured data is a plus
Prior work experience in financial modeling (e.g., risk models and analytics, factor models, mortgage prepayment or credit, commercial credit, securitized products) is a plus
Prior experience in climate science, climate policy or energy policy is a plus
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