Vice President , RSK010219SKMRM

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Goldman Sachs USA
  • 16 Feb 19

Vice President , RSK010219SKMRM

MORE ABOUT THIS JOB Vice President with Goldman Sachs & Co. LLC in New York, NY.

Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)

RESPONSIBILITIES AND QUALIFICATIONS Duties: Vice President with Goldman Sachs & Co. LLC in New York, NY. As Vice President in the Model Risk Management (MRM) business unit, apply complex mathematical techniques to assess and quantify model risk associated with models used to price interest rate derivatives. Assess model implementation risk by analyzing all models used by the Firm for valuation, risk management and capital. Verify the conceptual soundness and mathematical correctness of models, and code implementation. Report findings to model owners for remedial action and escalate to senior management when necessary. Design and perform tests (independent from those performed by modelers) to verify that the model behaves as expected and that the model functions properly in stressed scenarios. Monitor the performance of models used by the Firm. Conduct periodic meetings with other control stakeholders (such as Product Controllers or Market Risk Management) to review results of testing. Advise senior management on the risks associated with large transactions. Review the construction of rule-based quantitative financial indices, for their conceptual soundness, correct implementation, market impact, and risk representation. Provide guidance and mentorship to junior team members on their projects and career development. Build benchmark interest rate derivative models to quantitatively challenge the primary models, using advanced financial engineering methods.

Job Requirements: Master's degree (U.S. or foreign equivalent) in Computer Engineering/Electronic Engineering, Applied Mathematics, Statistics, Financial Engineering, or a related quantitative field. Three (3) years of experience in the job offered or in a related role. Must have 1.5 years of experience with: financial instruments and financial markets, including interest rates and FX; financial engineering, including experience with derivative pricing, Monte Carlo techniques, partial differential equations, the intricacies of computing volatilities, and methods used for modeled liquidity stress testing; participating in the governance of models, including working with model users, model owners and model developers, as well as other departments within a financial institution; writing and reviewing production software in C++ to solve heavily computational problems and grid computing; explaining complicated model risk issues to technical and non-technical audiences; addressing regulatory inquiries and drafting responses to written questions; documenting and performing on-going monitoring of models and managing relationships with senior risk managers and regulators; empirical modeling, including experience with regression analysis, hypothesis testing, and backtesting; stochastic calculus and interest rate term structure modeling; and statistical software, such as R, Matlab, or SAS.

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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