Risk, Model Risk Management, Model Validation, Analyst, Dallas
The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm .
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, Bangalore and other major financial centers around the world.
We are currently seeking candidates for the Model Risk Management Department ("MRM") in [New York].
The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, London, Warsaw, Hong Kong, and Bangalore. The group's primary mandate is to manage risk that arises from quantitative models used in the firm through its range of businesses - from models used for derivatives valuation to models used for risk management, liquidity and capital computations. In addition to independently reviewing these classes of models for their validity, theoretical consistency and implementation accuracy, the group is also responsible to assess the risk associated with model ongoing performance and change management.
Some examples of models reviewed include:
- Potential Exposure models, which evaluate firm's credit risk exposed to counterparties (i.e. firm's potential loss in the event of counterparty default). Skills required include interest rate modeling, principal component analysis (PCA), and Monte Carlo simulation.
- Value-at-Risk (VaR) models, which estimate firm's 1-day Value-at-Risk from a certain product. Requires data processing skills such as PCA and expectation-maximization (EM) algorithm in addition to knowledge of the financial product.
- PPNR (pre-provision net revenue) Models, which project firm's 9-quarter revenue for a business line using statistical tools such as linear regression.
- Pricing models, which price financial products such as derivatives and repos (repurchase agreement) - requires quantitative finance skills such as rate curve bootstrapping, Greeks, option pricing and numerical methods
RESPONSIBILITIES AND QUALIFICATIONS
- Testing the model to ensure their consistency and validity
- Part of the validation process is to design and perform tests (independent from those performed by modelers) to verify the model behaves as expected (e.g. small perturbations of the input is correctly reflected in the output; if the same product can be priced in different models, whether the prices match, etc.) and functions properly in stressed scenarios (imitating historical periods of financial crisis). This duty requires strong computer programming skills and good grasp of quantitative theory.
- Assessing model implementation risk
- The job requires assessing models in a very critical way, verifying their conceptual soundness (whether the assumptions are reasonable, the limitations and uncertainties are correctly identified), mathematical correctness and code implementation.
- Ongoing monitoring of the performance of the model used by the Firm
- Tests are performed daily for all models to verify the models behave as expected. This duty is critical to the firm as it ensures errors and problems with models are detected and addressed in a timely manner. Other monitoring activities include periodic meetings with other control side stakeholders to review results of testing results they perform (e.g. Financial Controllers or Market Risk Management team).
- Assessing and quantifying model risk (i.e. risk associated with model uncertainty). Model risk manifests as implementation risk and performance risk. Results are communicated to model owners for appropriate action. In addition, significant findings are also reported to management.
- Advising senior management on the risks associated with particularly large or unique transactions
- By leveraging understanding of model performance, candidate can help analyze impact of these models to our capital or other financial metrics under scenarios determined by management
Working in a dynamic team-work environment, the candidate 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
• 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.
The MRM group looks for people with strong quantitative and technological background with a good understanding and interest in
the financial markets. Successful candidates should have strong communication skills with the ability to explain quantitative models
in an intuitive way.
The group is looking for bright and dynamic individuals who:
• Have strong quantitative skills with a Ph. D in a quantitative discipline (e.g., Physics, Mathematics, Statistics, Engineering,
• Are comfortable in evaluating and challenging complex models and explaining issues in an intuitive way
• Have a good command of object oriented (e.g. C++) programming
• Are team players and have the ability to come up with solutions quickly, think through and debate solutions with others
• Are comfortable in working in a fast paced 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., 2019. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.
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