Risk - Market Risk & Capital Quantification - MRCQ Calc - Analyst/Associate - Bengaluru

  • Competitive
  • Bangalore, Karnataka, India
  • Permanent, Full time
  • Goldman Sachs International
  • 19 Feb 18 2018-02-19

Risk - Market Risk & Capital Quantification - MRCQ Calc - Analyst/Associate - Bengaluru

MORE ABOUT THIS JOB
RISK
The Risk group is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

Job Summary & Responsibilities
Market Risk Management & Analysis We are currently seeking candidates for the Market Risk & Capital Quantification (MRCQ) group within the Market Risk Management and Analysis department.
The MRCQ team is a multidisciplinary group of quantitative experts focusing on market risk and capital calculations. The team is primarily responsible for designing, implementing and verifying quantitative measures of Value-at-Risk, Stress Tests and Capital.
Responsibilities

The responsibilities can include:

  • Quantifying risk and capital calculations for a large, diverse and complex set of financial instruments. This involves designing and implementing and executing programmatic tools that query large data sets to test the economic and statistical characteristics of quantitative measures (such as value-at-risk, stress tests and capital calculations).
  • Understanding pricing & risk models including implementation that enables performing pricing analyses, risk and capital impact analysis.
  • Providing advice, testing and documentation for new quantitative risk measures.
  • Analyzing the availability and quality of market data used in risk calculations.
  • Performing anomaly detections in large data sets, investigating the cause and recommending corrective actions
  • Designing and maintaining a set of controls that ensure the completeness and accuracy of quantitative measures.
  • Interact with various other groups such as market risk modelers, technology, trading desks and risk committees to explain the results of calculations and provide quantitative advice.
  • Interact with external regulators and industry bodies.
Opportunities
In performing the job function, you will have the following opportunities:
  • Broad exposure to pricing and market data calibration models, risk and capital models for a variety of products.
  • Exposure to challenging quantitative problems such as modeling risks for derivatives, large scale Monte-Carlo simulations of complete portfolios across the firm, fast and accurate approximate market risk measurements.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Involvement in critical internal risk management practices, and provision of data to both internal and external clients.
  • Opportunities to work with other groups in various areas of the firm.
  • Dynamic team work environment.


RESPONSIBILITIES AND QUALIFICATIONS
Preferred Qualifications
  • Degree in a quantitative field such as mathematics, physics, statistics or engineering.
  • Good command of mathematics and numerical algorithms. Good knowledge of statistics and time series analysis.
  • Programming skills and experience with an object oriented programming language such as Java or C++, to the level of performing pricing and building prototype risk analytics/productivity tools.
  • Experience or keen interest to develop expertise in derivative products, and risk and capital calculation methodologies.
  • 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., 2018. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.