The Market Risk Strats team within Risk Engineering is a quantitative modelling team focusing on market risk and capital models. The team is primarily responsible for designing implementing and maintaining quantitative models for metrics such as Value-at-Risk Stress Tests and Capital.
Risk Engineering is a multidisciplinary group of quantitative experts who are tasked with modeling producing reviewing interpreting explaining and communicating risk & capital metrics and analytics used to ensure the firm adheres to its Risk Appetite and maintains the appropriate amount of Risk Engineering provides risk & capital metrics analytics and insights to the Chief Risk Officer senior management regulators and other firm stakeholder
Role Responsibilities
The responsibilities can include:
Developing refining and maintaining robust and production quality market risk models (such as value-at-risk stress tests) and capital involves identifying market risk factors for various products and building mathematical models to capture their economic and statistical characteristics.
Implementing testing and productionizing models and analytics. This involves prototyping models implementing them and designing tests to ensure the quality of implementation as well as tests for the continuous functioning of the models.
Performing pricing analyses risk and capital impact analyses.
Building robust systematic & efficient workflows processes and procedures around the production of risk analytics for financial & non-financial risk risk capital and regulatory reporting.
Interact with various other groups such as risk managers senior managers and stakeholders to explain the results of the models and analytics and provide quantitative advice.
Qualifications Skills & Aptitude
Eligible candidates are preferred to have the following:
Strong quantitative skills with a PhD degree in a quantitative discipline (Physics Mathematics Quantitative Finance Computer Science Engineering etc.) or aBachelors/Masters degree in a quantitative discipline with 3-5 years of relevant work experience.
Excellent command of mathematics modeling and numerical techniques. Good knowledge of statistics time series analysis econometric modeling and probability theory.
Strong programming skills and experience with a popular programming language (Java C Python etc.).
Hands-on experience of developing pricing models/risk models.
Excellent written verbal and team-oriented communication skills.
ABOUT GOLDMAN SACHS
At Goldman Sachs we commit our people capital and ideas to help our clients shareholders and the communities we serve to grow. Founded in 1869 we are a leading global investment banking securities and investment management firm. Headquartered in New York we maintain offices around the world.
We believe who you are makes you better at what you do. Were committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally from our training and development opportunities and firmwide networks to benefits wellness and personal finance offerings and mindfulness programs. Learn more about our culture benefits and people at
Were committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more:
The Goldman Sachs Group Inc. 2023. All rights reserved.
Goldman Sachs is an equal opportunity employer and does not discriminate on the basis of race color religion sex national origin age veterans status disability or any other characteristic protected by applicable law.
Required Experience:
IC
DescriptionBackgroundThe Market Risk Strats team within Risk Engineering is a quantitative modelling team focusing on market risk and capital models. The team is primarily responsible for designing implementing and maintaining quantitative models for metrics such as Value-at-Risk Stress Tests and Ca...
Description
Background
The Market Risk Strats team within Risk Engineering is a quantitative modelling team focusing on market risk and capital models. The team is primarily responsible for designing implementing and maintaining quantitative models for metrics such as Value-at-Risk Stress Tests and Capital.
Risk Engineering is a multidisciplinary group of quantitative experts who are tasked with modeling producing reviewing interpreting explaining and communicating risk & capital metrics and analytics used to ensure the firm adheres to its Risk Appetite and maintains the appropriate amount of Risk Engineering provides risk & capital metrics analytics and insights to the Chief Risk Officer senior management regulators and other firm stakeholder
Role Responsibilities
The responsibilities can include:
Developing refining and maintaining robust and production quality market risk models (such as value-at-risk stress tests) and capital involves identifying market risk factors for various products and building mathematical models to capture their economic and statistical characteristics.
Implementing testing and productionizing models and analytics. This involves prototyping models implementing them and designing tests to ensure the quality of implementation as well as tests for the continuous functioning of the models.
Performing pricing analyses risk and capital impact analyses.
Building robust systematic & efficient workflows processes and procedures around the production of risk analytics for financial & non-financial risk risk capital and regulatory reporting.
Interact with various other groups such as risk managers senior managers and stakeholders to explain the results of the models and analytics and provide quantitative advice.
Qualifications Skills & Aptitude
Eligible candidates are preferred to have the following:
Strong quantitative skills with a PhD degree in a quantitative discipline (Physics Mathematics Quantitative Finance Computer Science Engineering etc.) or aBachelors/Masters degree in a quantitative discipline with 3-5 years of relevant work experience.
Excellent command of mathematics modeling and numerical techniques. Good knowledge of statistics time series analysis econometric modeling and probability theory.
Strong programming skills and experience with a popular programming language (Java C Python etc.).
Hands-on experience of developing pricing models/risk models.
Excellent written verbal and team-oriented communication skills.
ABOUT GOLDMAN SACHS
At Goldman Sachs we commit our people capital and ideas to help our clients shareholders and the communities we serve to grow. Founded in 1869 we are a leading global investment banking securities and investment management firm. Headquartered in New York we maintain offices around the world.
We believe who you are makes you better at what you do. Were committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally from our training and development opportunities and firmwide networks to benefits wellness and personal finance offerings and mindfulness programs. Learn more about our culture benefits and people at
Were committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more:
The Goldman Sachs Group Inc. 2023. All rights reserved.
Goldman Sachs is an equal opportunity employer and does not discriminate on the basis of race color religion sex national origin age veterans status disability or any other characteristic protected by applicable law.
The Goldman Sachs Group, Inc. is a leading global investment banking, securities, and asset and wealth management firm that provides a wide range of financial services.
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