Associate-Intermediate/Vice President, FIN111816XHMRMA
Duties: Associate-Intermediate/Vice President with Goldman, Sachs & Co. in New York, NY. Develop, implement, and maintain market risk models (such as Value at Risk and stress tests) guided by financial theory and empirical evidence in order to assess the market risk of the Firm’s trading business. Identify market risk factors for various financial products, analyze the availability and quality of historical data inputs to the models, and build models to capture their economic and statistical characteristics. Develop and refine market risk capital models guided by financial theory, empirical facts, and regulatory capital requirements/specifications such as Basel 2.5 capital model and Fundamental Review of the Trading Book. Apply statistics, computer modeling, and machine learning to perform forecasting, prediction, and pattern recognition for the support of financial data-driven decision making. Implement models in production using sophisticated software: develop a comprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, as well as test for the continuous functioning of the models. Maintain and support model performances: calibrate of models, examine test performances, update historical time series as market evolves, and adapt the changes in market dynamics to ensure appropriate model outcome; address model limitations/uncertainties revealed from independent model review process to further enhance the models and perform quantitative analysis on questions raised by Regulators. Participate in the governance of risk models, including working with Model Risk Management, Market Making Businesses, Technology and Department Management. Provide comprehensive documentations of the models covering model purpose, model specification, testing description, empirical evidences. Recruit and train of new members of the Market Risk Modeling team. Provide informal supervision and quantitative/technical guidance to junior modelers.
Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)
Job Requirements: Master’s degree (U.S. or foreign equivalent) in a Mathematics or Science discipline that require statistical analysis with six (6) years of experience, in the job offered or in a quantitative modeling and model implementation position OR Ph.D (U.S. or foreign equivalent) in a Mathematics or Science discipline that require statistical analysis with three (3) years of experience, in the job offered or in a quantitative modeling and model implementation position. Prior work experience must include three (3) years of: developing quantitative models by utilizing probability, statistics, optimization, stochastic calculus, time series analysis and numerical analysis; financial engineering, including experience covering everything from derivative pricing, the intricacies of computing volatilities, to producing a Monte Carlo simulation; and presentations or conference talks to global audience, with demonstrated communication skills. Prior work experience must include at least one and half (1.5) years of: developing risk models on a wide range of businesses covering both trading and asset management, with understanding of financial markets and financial products across a broad range of assets and their pricing models; designing, implementing, and documenting full re-priced based Value-at-Risk models for new business and products; SQL proficiency to efficiently query and manipulate large database tables where reference information and computational output such as pricing results are stored; Object oriented (such as C++ or similar) programming, including experience writing commercial software; interacting with global team members in a fast paced environment.
QUALIFIED APPLICANTS: Apply at: https://careers.gs.com. Under ‘Experienced Professionals,’ click on ‘Apply Now.’ If New User, Click on ‘Register Now’. Upon completion, an email with a link will be sent to you. Click or paste link into browser and log-in. On Welcome screen, enter job code into “Keywords:” field and click on “Search”. Click on the job from the results to apply. Complete application tabs, then click ‘Submit’. If already registered, log-in and follow above instructions to submit an application. NO PHONE CALLS PLEASE.
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet. © The Goldman Sachs Group, Inc., 2015. All rights reserved.
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