Credit Quantitative Analyst/Associate-Warsaw
- Warsaw, Mazowieckie, Poland
- Permanent, Full time
- Goldman Sachs International
- 21 Oct 18
See job description for details
MORE ABOUT THIS JOB RISK
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, Tokyo and Warsaw. 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.
RESPONSIBILITIES AND QUALIFICATIONS Credit Quantitative Analysis Group
Credit Quantitative Analysis is a quantitative group within the Credit Risk department at Goldman Sachs which has the responsibility for developing quantitative pricing and risk management models for credit risk and hedge fund risk , as well as CVA and FVA for regulatory stress testing purposes.
We are currently seeking an outstanding quantitative PhD or Master candidate to join the Credit Quantitative Analysis team in Warsaw at the Analyst/ Associate level.
- Development of models and simulations for stress testing regimes and guidelines requested by Global regulators. Will require interaction with regulators, previous experience and good communication skills are advantageous.\
- Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.
- Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets.
- Development of prototypes of models and interaction with the IT group in developing and testing production models.
- Strong quantitative skills with a PhD or Masters in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering, etc.)
- Knowledge of derivative pricing and financial economics
- Programming experience in Matlab, C++, C#, or Java
- Communication skills and teamwork are important attributes for successful candidates.
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.