Risk Division, Credit Quantitative Analysis, Associate, Warsaw

  • Competitive
  • Warsaw, Mazowieckie, Poland
  • Permanent, Full time
  • Goldman Sachs International
  • 17 Jan 18 2018-01-17

See job description for details

MORE ABOUT THIS JOB YOUR IMPACT
We are looking for a candidate with strong quantitative, programming and analytical skills. You would be joining a dynamic team of highly motivated and experienced modelers from a broad variety of numerical backgrounds ranging from mathematics to physics and computer programming.

OUR IMPACT
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, Dallas, Warsaw and other major financial centers around the world.
BUSINESS UNIT OVERVIEW
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, Dallas, 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.
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.
Credit Quantitative Analysis is a quantitative group within the Credit Risk department at Goldman Sachs which has the responsible 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.

RESPONSIBILITIES AND QUALIFICATIONS We are currently seeking an outstanding quantitative PhD or Master candidate to join the Credit Quantitative Analysis team in Warsaw at the Associate level.

RESPONSIBILITIES

  • Development of models and simulations for stress testing regimes and guidelines requested by Global regulators. Will require interaction with regulatros, 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
BASIC QUALIFICATIONS
  • 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.