Risk Engineering - Market Risk Strat - Associate - London
- London, United Kingdom
The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm .
We're a team of specialists charged with managing the firm's liquidity, capital and risk, and providing the overall financial control and reporting functions. Whether assessing the creditworthiness of the firm's counterparties, monitoring market risks associated with trading activities, or offering analytical and regulatory compliance support, our work contributes directly to the firm's success. The division is ideal for collaborative individuals who have strong ethics and attention to detail.
Risk Engineering ("RE"), which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and effective technologies for risk management. RE is staffed globally with offices including Dallas, New Jersey, New York, Salt Lake City, London, Warsaw, Bengaluru, Singapore, and Tokyo. The Market Risk Strats group in RE is a multidisciplinary group of quantitative experts focusing on 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 firm's capital requirements
RESPONSIBILITIES AND QUALIFICATIONS
- Develop, implement, and maintain quantitative measures of market risk ("Risk Models") such as Value at Risk, Stress Test and Capital models in order to assess the market risk of the Firm's businesses. This includes:
- Design and implement methodologies to identify market risk factors for various financial products and build models to capture their economic and statistical characteristics.
- Perform analysis of the appropriateness of model assumptions, conduct sensitivity analysis and provide comprehensive documentation of the models.
- Implement models in production using sophisticated software, such as object-oriented computer languages and design tests to ensure the accuracy of implementation.
- Evaluate new capital regulations, including the Fundamental Review of the Trading Book (FRTB) and facilitate the understanding of their impact on the Firm's market risk capital.
- Coordinate across multiple groups, including strategists, technology and controllers to implement the new capital regulations.
- Communicate clearly complex mathematical concepts with internal and external stakeholders such as risk managers, market making businesses, senior management and regulators.
- Perform quantitative analysis and facilitate understanding of the market risk for a variety of financial derivatives, including exotic products.
- Provide supervision and quantitative / technical guidance to more junior risk management professionals.
In performing his/her job function, an associate in Market Risk Strat will have the following opportunities:
- Broad exposure to pricing, 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.
- Dynamic teamwork environment.
- Strong quantitative skills with an advanced degree (Ph.D. or Master's with relevant experience) in a quantitative discipline (Engineering, Mathematics, Physics, Statistics, Econometrics etc.)
- Excellent command of mathematics, modeling and numerical techniques. Good knowledge of statistics, econometric modeling and probability theory.
ABOUT GOLDMAN SACHS
ABOUT GOLDMAN SACHS
At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.
We believe who you are makes you better at what you do. We're committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally, from our training and development opportunities and firmwide networks to benefits, wellness and personal finance offerings and mindfulness programs. Learn more about our culture, benefits, and people at GS.com/careers .
We're committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more: https:// www.goldmansachs.com/careers/footer/disability-statement.html
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Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity
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