Risk, MRCQ Calculations, Quantification Risk Manager, New York

MORE ABOUT THIS JOB

RISK

The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

Market Risk Management & Analysis (MRMA) is a department within the Risk Division of Goldman Sachs responsible for the independent measurement, monitoring and governance of the firm's market risk exposures and market risk capital.

Market Risk & Capital Quantification (MRCQ) is a multidisciplinary group of quantitative experts who are the authoritative source for independent measurements of market risk and capital for the firm. The group is responsible for designing, implementing, reviewing and interpreting market risk and capital measurements used to independently ensure the firm adheres to its Risk Appetite Statement and required Market Risk Capital.

MRCQ is organized into 4 pillars wrapped by the purview of the MRMA Governance group to ensure consistently high process governance standards are met across the pillars:

  • MRCQ Core
  • MRCQ Calculations
  • MRCQ Modelling
  • MRCQ Data

RESPONSIBILITIES AND QUALIFICATIONS

MRCQ are seeking Analyst / Associate candidates for the role of "Quantitative Risk Manager" (QRM) within the MRCQ Calculations pillar.

Responsibilities

MRCQ Calculations are responsible for identifying, quantifying and publishing authoritative MRCQ market risk and market risk capital measures, which includes:

  • Enhancing and managing MRCQ processes quantifying market risk and capital measurements to explain and publish measurements for a large, diverse set of financial products covering the whole Firm in aggregate.
  • This involves designing, developing & maintaining productivity and feature enumeration tools to interpret MRCQ's risk and capital metrics, at varying levels of aggregation across the Firm, in order to ensure the Firm's risk and capital measures continue to operate in line with intent.
  • Understanding financial pricing & risk models including analyzing pricing, risk and capital model outputs to evaluate, explain and justify measure appropriateness or new features in the Firm's risk profile.
  • Automation engineering to increase control, reduce operational risks & costs and enhance the Firm's measurement timeliness & availability for self-awareness of significant market risks
  • Testing, developing & integrating process flows and documentation for new quantitative measures.
  • Designing, developing and maintaining controls ensuring completeness and accuracy of measures.
  • Providing independent quantitative risk measurement and process consulting for new or existing business activities in the Firm.
  • Interacting with groups such as market risk modelers, technology, trading & investing businesses and product controllers to understand & explain the results of calculations
  • Interacting with firm internal governing bodies such as Risk Committees and executive members of the firm
  • Interacting with firm external governing bodies such as external regulators and industry bodies

Qualifications, Skills & Aptitude

  • Eligible candidates are preferred to have the following skills and aptitude:
  • Entrepreneurial, creative, self-motivated and team-orientated
  • Strong written and verbal communication skills
  • Masters or Bachelors degree in a quantitative discipline such as mathematics, physics, statistics or engineering.
  • Practical knowledge of mathematics and numerical algorithms, including statistics and time series analysis.
  • Experience with, or keen interest to develop expertise in, programming skills with languages such as Java or C++.
  • Experience with, or keen interest to develop expertise in, development of financial product risk analytics, interpretation & productivity tools for market risk and capital measurements.
  • Experience with, or keen interest to develop expertise in, pricing, market risk and capital models.
  • Experience with, or keen interest to develop expertise in, financial markets, economics and relationship to market risk and capital measurements

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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