Modelling Manager - Financial Markets Group
BlackRock 123 reviews - London

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Job Purpose: As a member of the mortgage research team, provide direct supports to Financial Markets Advisory(FMA), Portfolio Management Group(PMG), Risk & Quant Analysis(RQA) and external clients on non-$ models and analytics; Develop and maintain European and other non-$ MBS and ABS prepayment and credit models; Conduct relative value, strategy, and macro economy research in non-$ structure products. Responsibilities:Provide modeling and analytical support to FMA, PMG and RQA in LondonCoordinate with FMA, PMG and FMG to bring various ad hoc models onto a consistent and generalized framework.Collect, validate and create report on European and other Non-dollar mortgage dataEstimate and validate European and other Non-dollar mortgage models using statistical and econometrical tools.Develop macro economy models or assumption such as mortgage rate, HPA and unemploymentWork with other FMG members to implement production quality models. Verify that newly implemented models tie to prototyped models.Review all model related reports and provide commentary including forecast error reviews. Be proactive regarding required model enhancements.

Instruct users how to use models effectively.Communicate internal and BRS external clients in Europe regarding model factors, forecasts, performance, strength and weakness, and security valuation implications. Recommend dial sets when products or segments generate large forecast error.Coordinate with PAG research analysts on specific projects. Provide on-going client support to internal and external clients on European MBS and ABS models. Skills & Experience: Proven experience of empirical financial modeling experience in European fixed-income assets (must have experience developing econometric models and working with large data sets).Must have in-depth knowledge in European fixed-income finance and MBS valuation, relative value, and risk management.SAS and Splus skills are required.

In-depth knowledge on multi variants regression is required and non-parametric regression is a plus. C/C++/SQL/Perl programming skills also highly desirable. A graduate level education, with a focus on statistics, econometrics, economics, Finance, financial engineering, mathematics, physics, or other related quantitative fields. Exposure to fix-income finance is also highly desirable.Experience in project management preferred.

Excellent communication and presentation skills required. Self motivated.

About this company
123 reviews
Now this is the kind of coal you want in your stocking. BlackRock, with more than $3.5 trillion under management, is the world's largest...