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Quantitative Modeler, Vice President

BlackRock
Backend Developer • Vor Ort • Vollzeit • 📍 Budapest
📄 Originalanzeige ansehen (EN)

A Vice President level Quantitative Modeler role in BlackRock's global Model Governance team for Single Security Pricing, spanning New York, Budapest, and Gurgaon. The role focuses on developing methodologies, thresholds, and daily tests to monitor the performance of Fixed Income Derivative pricing models, implemented mainly in Python with C++ understanding.

Stack

C#GitLinuxPython

Responsibilities

  • ▹Understand the implementation of C++ Fixed Income Derivative pricing models (yield curve, inflation, FX, volatility)
  • ▹Analyze model output and time-series to define correctness criteria and thresholds
  • ▹Implement daily model performance monitoring tests in Python
  • ▹Interact with Model Risk Management to get performance monitoring tests approved
  • ▹Build reporting and monitoring infrastructure for model breaches and overnight performance tests
  • ▹Contribute to LLM-based model documentation and governance projects

Requirements

  • ▹Master's degree in a quantitative field
  • ▹5+ years of experience in a quant or quant-dev finance role with strong programming skills
  • ▹Advanced hands-on Python programming
  • ▹Basic C++ coding skills
  • ▹Expertise with software engineering tools/platforms such as Git and Linux

Nice to have

  • ▹Up-to-date knowledge of quant, finance, and technology topics

Soft skills

Passion for programmingAnalytical frame of mindExcellent communication, explaining complex concepts in simple terms

What we offer

  • ▹Retirement investment tools to help build a sound financial future
  • ▹Education reimbursement
  • ▹Comprehensive physical health and emotional well-being resources
  • ▹Family support programs
  • ▹Flexible Time Off (FTO)
  • ▹Hybrid work model (4 days office, 1 day home)
Languages: angol
Education: MSc kvantitatív területen