Market Risk Modeler (New York) - Analyst/Associate/VP

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.

We are currently seeking candidates for the Modeling group within the Market Risk Management and Analysis (MRMA) Department in New York. The Modeling group in MRMA is a multidisciplinary group of quantitative experts focusing on price verification, market risk and capital models. The group is responsible for designing, implementing and maintaining quantitative measures of market risk such as Value at Risk, Stress Tests as well as metrics used to determine the firms capital requirements and verify fair value pricing.

The responsibilities of the modeler will include:

  • Develop models and analytics for quantitative risk measures.
  • This involves designing and implementing methodologies to identify market risk factors and capture their economic 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
  • Provide comprehensive documentation of model assumptions, design, implementation, and limitations.
  • Evidence model correctness by testing the appropriateness of model assumptions and conducting sensitivity analysis
  • Design tests to monitor the performance of the models and their implementation on an ongoing basis.
  • Operate under model control policy
  • Perform bespoke pricing, risk and capital impact analyses for a variety of financial derivatives including exotic products.
  • Explain the results of models and analytics to internal and external stakeholders who interfacewith modeling.

In performing his/her job function a Modeler will have the following opportunities:

  • Broad exposure to pricing and calibration models, risk and capital models for a variety of financial products
  • Exposure to challenging quantitative problems such as modeling market risk for derivatives, large scale Monte' Carlo simulations of complete portfolios across the firm, and fast approximation of market risk measurements.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Opportunities to work with other groups in various areas of the firm.
  • Dynamic team?work environment.

RESPONSIBILITIES AND QUALIFICATIONS

We are currently seeking candidates for the Modeling group within the Market Risk Management and Analysis (MRMA) Department in New York. The Modeling group in MRMA is a multidisciplinary group of quantitative experts focusing on price verification, market risk and capital models. The group is responsible for designing, implementing and maintaining quantitative measures of market risk such as Value at Risk, Stress Tests as well as metrics used to determine the firms capital requirements and verify fair value pricing.

The responsibilities of the modeler will include:

  • Develop models and analytics for quantitative risk measures.
  • This involves designing and implementing methodologies to identify market risk factors and capture their economic 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
  • Provide comprehensive documentation of model assumptions, design, implementation, and limitations.
  • Evidence model correctness by testing the appropriateness of model assumptions and conducting sensitivity analysis
  • Design tests to monitor the performance of the models and their implementation on an ongoing basis.
  • Operate under model control policy
  • Perform bespoke pricing, risk and capital impact analyses for a variety of financial derivatives including exotic products.
  • Explain the results of models and analytics to internal and external stakeholders who interfacewith modeling.

In performing his/her job function a Modeler will have the following opportunities:

  • Broad exposure to pricing and calibration models, risk and capital models for a variety of financial products
  • Exposure to challenging quantitative problems such as modeling market risk for derivatives, large scale Monte' Carlo simulations of complete portfolios across the firm, and fast approximation of market risk measurements.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Opportunities to work with other groups in various areas of the firm.
  • Dynamic team?work environment.

Qualifications

  • Advanced degree (PhD preferred) in a quantitative field such as Engineering, Mathematics or Physics.
  • Holders of BS degrees with relevant technical work experience will also be considered. Excellent command of mathematics, modeling and numerical algorithms.
  • Deep knowledge of statistics and time series analysis is highly desirable.
  • Strong programming skills and experience.
  • Proven ability to perform analysis and problem-solve using computational tools.
  • Strong written and verbal communication skills.
  • Self-motivated team player.

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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