CRMA, Credit Quantitative Analysis, Associate, Irving
The Goldman Sachs Group, Inc. is a leading global financial services firm providing investment banking, securities and investment management services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong, Irving and other major financial centers around the world.
Credit Risk Management and Advisory (CRMA)
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. For more detailed information about CRMA and the Firm, please visit www.gs.com/careers.
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. The position is based in Irving, TX.
The responsibilities can include:
- Development of models and simulations for stress testing regimes and guidelines requested by US and UK regulators. Will require interaction with regulators.
- Development of pricing and simulation models for interest rate, equities, commodities, FX, and credit derivatives
- Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets
- Development of prototypes of models and interaction with the IT group in developing and testing production models
Basic Qualifications• Masters or Ph.D. in a quantitative subject (Math, Physics, Engineering, Finance)
- Knowledge of derivative pricing and financial economics
- Programming experience in Matlab, C++, C#, or Java
- Communication skills and teamwork are important attributes for successful candidates
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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