Performance & Attribution – Portfolio Risk Modelling, Vice President,

at  BlackRock Investments

KEY SKILLS & QUALIFICATIONS

• Graduate degree in a technical field (Maths, Statistics, Computer Science and/or Engineering, Finance, Econometrics, Physics)
• Postgraduate degree in a technical field is a plus
• 8+ years relevant working experience
• Strong programming skills and experience using Python to conduct statistical/econometric analyses
• Knowledge in Unix/Linux, Git is a plus
• Model Risk Management experience is a plus
• Strong knowledge of financial, mathematical, and statistical theory
• Strong interest in financial market
• Strong oral and written (English language) communication skills that enable complex ideas to be readily understood by team members and clients
• Enthusiasm, flexibility, and maturity to adapt to the needs of a dynamic group and deliver within strict time frame
• Good time management skills including the ability to handle multiple projects
• Knowledge of performance attribution modelling

ROLE DESCRIPTION:

The Modelling Research team in AFE is looking for a performance attribution lead modeller to join the Budapest team to contribute to the modelling and development effort in building and maintaining of Aladdin performance attribution models. The new member should help to support the increasing demand for Aladdin’s performance measurement and performance attribution capabilities.
Portfolio performance evaluation involves performance measurement, performance attribution and performance appraisal. Performance attribution plays a key role in the investment process, both as a feedback loop in the investment process as well as providing a means of articulating the implication of investment decisions to clients. It helps investors understand the key drivers of active return: Sector Allocation decisions or ability to research attractive investment opportunities at the individual asset level.
This team is responsible for the design and support of performance attribution models including documentation, testing, performance monitoring and other model governance exercises working closely with colleagues in core analytics solution, engineers, product managers and users. You will also work with clients and relationship managers to ensure that clients are getting the most out of Aladdin’s performance capabilities and that client feedback is addressed appropriately.
You will also be responsible for leading a team of four, overseeing their daily tasks, and reporting the team’s progress to senior management.
We offer a dynamic, team-oriented environment with tremendous learning and growth potential.

KEY RESPONSIBILITIES:

The candidate will be performing duties related to all aspects of performance attribution model development:

• Researching, designing new performance attribution models
• Collaborating with software developers to test and release new models into production
• Supporting existing performance attribution models in production; developing and improving model quality control and model performance monitoring; maintaining and extending research framework
• Investigating and resolving client queries relating to model methodology and functionality
• Managing a team of four