Credit Quantitative Analysis VP - Warsaw
- Warsaw, Mazowieckie, Poland
- Permanent, Full time
- Goldman Sachs International
- 21 Oct 18
See job description for details
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.
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, Irving and other major financial centers around the world. Credit Risk Management and Advisory (CRMA) The Credit Risk Management & Advisory Department ("CRMA") is a central part of the Goldman Sachs risk management framework, with primary responsibility for assessing, monitoring and managing credit risk at the Firm. CRMA is staffed globally with offices including New York, London, Frankfurt, Salt Lake City, Irving, Singapore, Hong Kong and Tokyo. As a member of CRMA you will interface with a variety of divisions around the firm (Legal, Compliance, Operations, etc.) as well as the other regional CRMA offices. The interaction with numerous departments and the diverse projects that ensue allow for a challenging, varied and multi-dimensional work environment. We partner with other divisions in the firm and externally with clients to support the firm's wide array of banking and trading business. CRMA professionals are part of the value proposition of the firm and we balance our key functional responsibility of control with that of being commercial. CRMA has strong traditions of risk management, client service excellence and career development opportunities for our people. For more detailed information about CRMA and the Firm, please visit www.gs.com/careers. The CRMA Department at Goldman Sachs is seeking a candidate to join its Credit Quantitative Analysis team (CQA). CQA is responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk.
RESPONSIBILITIES AND QUALIFICATIONS Responsibilities
The responsibilities can include:
- Development of quantitative risk models (Credit Risk, Market Risk or CVA)
- Programming experience of production level code - deployment, testing and release process ( C++, C, R, Matlab or other)
- Strong quantitative skills (mathematics, statistics and probability)
- Quantitative research experience both independent and collaborative
- Ownership and oversight of methodology - owning code, development of modelling approach and responsibility for validation process
- Stress testing experience working on internal or regulatory stress tests
- Derivative pricing experience and knowledge of numerical technical (eg Monte Carlo pricing)
- Cross asset product experience (Interest rates, Credit, Foreign Exchange, Commodities etc)
- Strong communication skills both verbal and written
- Genuine interest in the role and clear ability to articulate their interest in the role
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.
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Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.