Vice President - AMD5247392
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Vice President with Goldman Sachs & Co. LLC in New York, NY RESPONSIBILITIES AND QUALIFICATIONS
Duties: Vice President with Goldman Sachs & Co. LLC in New York, NY. Vice President of Quantitative Engineering in the Merchant Banking Division (MBD) Strats group, focusing on quantitative analyses of funds investing in private assets. Responsible for working on financial modeling projects that will be utilized to value illiquid credit, equity, and real-estate investments, analyze capital efficiency of investments with complex structures, produce return and risk metrics at both the investment and portfolio levels, stress-test portfolio returns, manage covenants of credit facility, and optimize asset utilization as borrowing base in MBD funds. Collaborate with employees from other divisions to produce quantitative analyses essential in supporting the business, decision making, and investor and regulatory reporting. Design and implement models, algorithms, and analytics tools using Slang, Goldman Sachs' proprietary programming language, along with Python, Java, R for statistical/machine learning analyses. Develop mathematical financial models (e.g. Black-Scholes model, Monte Carlo Simulation) for valuing private investments and calculating risk metrics. Develop, implement and apply complex mathematical models to value and manage private investments. Model future investment performance in various scenarios, model the prices of financial instruments, and perform advanced statistical analyses to MBD portfolios. Understand and apply advanced mathematical methods, such as the Black-Scholes model for option pricing and Monte Carlo simulations, as well as various statistical methods to analyze portfolios. Apply scientific programming and numerical algorithms to turn the said mathematical models into efficient computer programs that can be applied across the portfolios. Design, implement, and calculate various quantitative metrics for fundraising and investor reporting. Support and improve various quantitative analytics that the division provides to its current and prospective investors (examples of analytics include investor return projections, default and risk analyses, and measuring performance against competitors and the public market.) Ensure correctness of these calculations, improve code quality and consistency, extend the model to include new metrics, and explain technical details in layman terms to investors. Develop and perform quantitative analytics of firm's capital usage, optimize investment structure for capital efficiency. Understand the Firm's proprietary model on calculating attributed equity for new investments, which is a mathematical formulation designed to optimize the allocation of capital, calibrated to the Firm's current and expected future constraints. Implement the model for the division and use it to calculate attributed capital on every new investment opportunity that the Firm faces. Leverage thorough understanding of the mathematics behind the model to optimize the Firm's capital usage by creatively structuring investments in a capital-efficient manner. Perform quantitative analysis on the capital savings achieved by the above structuring efforts. Improve the model and ensure that the Firm's implementation of it is consistent with the latest industry and regulatory standards. Enhance models to predict investment and portfolio performances under various stress scenarios. Understand and improve models to simulate stress conditions (e.g., similar to the 2008 financial crisis) and evaluate performances of MBD portfolios under these conditions. Derive mathematical models to price various financial instruments, analytically or numerically solve them (using numerical algorithms such as Finite Difference, Monte-Carlo simulation, or Newton-Raphson method), and use the result to calculate the value of the division's portfolios under various hypothetical market shocks .
Job Requirements: Doctorate or Master's degree (U.S. or foreign equivalent) in Mathematics, Physics, Computer Science or related field. Minimum three (3) years of experience with Doctorate or five (5) years of experience with Master's in the job offered or in a related role. Prior experience must include three (3) years with: Programming mathematical financial models for asset valuation and pricing (such as Black-Scholes model, Monte Carlo Simulation); developing and performing quantitative analytics related to capital efficiency; coding financial models and analytics in language such as Python, Java, or R; and working on one or more projects that involve mathematical modeling and quantitative analysis of financial products. Prior experience must include two (2) years with: Providing analytics for constructing the portfolios and forecasting risk and returns (such as gross and net returns for investors in our funds); and enhancing models for stress testing our investments and portfolios for regulatory reporting (such as Federal Reserve's CCAR or DFAST process) . ABOUT GOLDMAN SACHS
ABOUT GOLDMAN SACHS
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