Credit Quantitative Analysis Model Documentation, Associate/Vice President

MORE ABOUT THIS JOB

The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

The Credit Risk Management & Advisory Department (CRMA) is a central part of the Goldman Sachs risk management framework, with primary responsibility for assessing, monitoring and managing credit risk at the Firm. CRMA is staffed globally with offices including New York, London, Frankfurt, Salt Lake City, Irving, Singapore, Hong Kong and Tokyo. As a member of CRMA you will interface with a variety of divisions around the firm (Legal, Compliance, Operations, etc.) as well as the other regional CRMA offices. The interaction with numerous departments and the diverse projects that ensue allow for a challenging, varied and multi- dimensional work environment. We partner with other divisions in the firm and externally with clients to support the firm's wide array of banking and trading business. CRMA professionals are part of the value proposition of the firm and we balance our key functional responsibility of control with that of being commercial. CRMA has strong traditions of risk management, client service excellence and career development opportunities for our people. The CRMA Department at Goldman Sachs is seeking a candidate to join its Credit Quantitative Analysis team (CQA). CQA is responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk.

RESPONSIBILITIES AND QUALIFICATIONS

Responsibilities:

  • Participating in development of simulation models for credit risk computations. This involves designing and implementing methodologies to identify risk factors and capture their financial and statistical characteristics. Model development will be based on a deep understanding of derivatives pricing theory, financial markets and instruments, as well as statistical model building
  • Fast approximation of credit risk measurements.
  • Working on quantitative regulatory projects. Will require interacting with regulators and making presentations internally.
  • Writing high-quality technical documentation.
  • Opportunities to work with other groups in various areas of the firm.
  • Dynamic team?work environment.

Qualifications:

  • Advanced degree (PhD or Masters) in a quantitative subject (Math, Physics, Engineering).
  • Programming experience in Matlab, C++, C#, Python or Java
  • Excellent written and verbal communication skills.
  • Knowledge of derivative pricing and financial markets is preferred.

ABOUT GOLDMAN SACHS

The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.

© The Goldman Sachs Group, Inc., 2017. All rights reservedGoldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.


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