Risk, Model Risk Management, Analyst/Associate, NY
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.
Model Risk Management (MRM) is a multidisciplinary team of quantitative experts focusing on exotic derivatives valuation and risk across all product areas. The group has presence in New York, London, Tokyo and Hong Kong, Singapore, Bangalore.
The group's main responsibilities include:
- As financial derivatives become more complex, so do the models that are used to value and risk mange them. The group focuses on modelling the risks that arise from choice of different models.
- Model Implementation risk – The group analyzes the consistency and validity of all models used by the firm for pricing and risk managing derivatives contracts
- We advise senior management on the risk associated with particularly large derivatives transactions
MRM Analytics is a team within MRM, with focus on performing effective ongoing monitoring and workflow efficiency using data analytics and machine learning.
The main responsibility includes:
- Assessing and Quantifying Model risk, i.e., the risk associated with the choice of models used to mark exotic OTC derivatives.
- Producing ongoing monitoring reports for all models, generate auto alerts when a particular risk increases.
- Build analytical applications ( eg. Recommendation engines, auto-documentation etc. ) to improve the efficiency of validation workflow.
RESPONSIBILITIES AND QUALIFICATIONS
The group seeks applications from bright and dynamics individuals who have:
- Strong Programming skills and academic achievement
- Strong desire to work in algorithms, system design, machine learning, software architecture.
- Good communication skills: Comfortable with explaining complicated designs to a wide audience.
- Team players and have the ability to come up with solutions quickly and think through these solutions with others.
- Strong analytical skills
- Ability to think clearly and operate at a fast pace in a constantly changing risk environment
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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