# Associate

**Company**: BlackRock Financial Management, Inc.
**Location**: New York, NY
**Work arrangement**: hybrid
**Experience**: mid
**Job type**: full-time
**Salary**: USD$145,500.00 - USD$170,000.00
**Category**: Finance
**Industry**: Finance

**Apply**: https://blackrock.wd1.myworkdayjobs.com/en-US/BlackRock_Professional/job/New-York-NY/Associate_R267203?utm_source=yubhub.co&utm_medium=jobs_feed&utm_campaign=apply
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## Description

We are seeking an Associate to work on the implementation and maintenance of the model surveillance and performance monitoring infrastructure for the models supported by Single Security Pricing (SSP).

Responsibilities:

- Enhance the model documentation

- Collaborate with the Risk & Quantitative Analysis (RQA) Group in model validation process for the models owned by SSP

- Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new models and analytics

- Maintain and enhance existing interest rate, inflation, FX, synthetic credit and equity derivatives models

- Refactor existing analytical code to make it more modular and scalable

- Keep abreast of recent trends in technology, quantitative finance, capital markets and regulation

- Bring the latest techniques to bear on the problems we face in our day-to-day work

Qualifications:

- Master's degree in Financial Engineering, Business Administration, Economics, or a related field

- Two (2) years of experience in the job offered or as an Analyst, Financial Engineer, or related role

- Two (2) years of experience with:

- Programming in Python, R, MATLAB, SQL for quantitative analysis

- Using Bloomberg terminal and Aladdin suite

- Applying time-series analysis to derivatives modeling, including historical volatility estimation, GARCH models, PCA on yield curve dynamics, and mean-reversion parameter estimation

- One (1) year of experience with:

- Model validation and performance monitoring metric design

- Pricing fixed income derivatives including swaps, swaptions, caps/floors, CMS and CMS spread options, callable and puttable bonds

- Implementing and calibrating short-rate models, including Hull-White, Shifted Lognormal, and G2++

- Constructing and calibrating interest rate volatility surfaces

- Pricing interest rate derivatives using LIBOR market model, SABR-LMM stochastic vol extension, and forward market model

- Pricing convertible bonds and equity-credit hybrid securities using jump-diffusion PDE

- Applying stochastic calculus to derivatives pricing

- Implementing numerical methods

- Developing production pricing analytics in C++

Benefits:

- Salary range: USD$145,500.00 - USD$170,000.00

- Annual discretionary bonus

- Healthcare

- Leave benefits

- Retirement benefits

- Tuition reimbursement

- Flexible Time Off (FTO)

Work Environment:

- Hybrid work model, with at least 4 days in the office per week

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## Skills

### Required
- Python
- R
- MATLAB
- SQL
- Bloomberg terminal
- Aladdin suite
- time-series analysis
- derivatives modeling
- stochastic calculus
- C++

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