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    VP, Counterparty Credit Risk Strat, Risk Architecture, London - Goldman Sachs

    Goldman Sachs
    Goldman Sachs London, United Kingdom

    1 week ago

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    Description

    Risk

    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, Bengaluru and other major financial centers around the world.

    We are seeking candidates for Risk Architecture Counterparty Credit Risk Strats – Risk Engineering in London.

    Risk Engineering ("RE"), which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and effective technologies for risk management. RE is staffed globally with offices including Dallas, New York, Salt Lake City, London, Warsaw, Bengaluru, Hyderabad and Singapore. The Risk Architecture ("RA") group within RE is a multidisciplinary group of quantitative experts focusing on developing techniques for the quantitative assessment of the performance of market and credit risk models. The group is responsible for employing advanced data science and statistical techniques to identify risk and capital vulnerabilities due to model limitations.

    Responsibilities

  • Design and implement methodologies to identify model limitations across various financial products, including by testing the appropriateness of model assumptions and conducting sensitivity analysis.
  • Implement models in production using sophisticated software and object-oriented computer languages, including develop a comprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, and test for the continuous functioning of the models.
  • Develop comprehensive documentation of processes and models covering purpose, specifications, testing description, and empirical evidence.
  • Communicate complex mathematical ideas with internal / external stakeholders such as regulators, modelers, technology, and senior management.
  • Lead regulatory engagements in the area of counterparty credit risk model performance, including discussions of model performance, suitability of measurement approaches, and results with the regulators.
  • Provide supervision and quantitative / technical guidance to more junior risk management professionals, and take on leadership opportunities on department-wide initiatives.
  • Recruit and train new members of the Risk Architecture team.

    • How you will fulfill your potential

  • Broad exposure to pricing, calibration, risk, and capital models for a variety of financial products.
  • Exposure to challenging quantitative problems such as modeling of derivatives and large scale Monte' Carlo simulations of complex portfolios across the firm.
  • Opportunities to work closely with leadership and with other groups across the firm to drive forward high priority initiatives.
  • Dynamic teamwork environment.

    • Qualifications

  • Advanced degree (PhD preferred) in a quantitative field such as Mathematics, Statistics, Physics, or a related quantitative field.
  • Holders of ., degrees with relevant technical work experience will also be considered. Must have excellent command of mathematics, modeling and numerical algorithms.
  • Experience in a counterparty credit risk backtesting function of a regulated financial institution.
  • Deep knowledge of advanced probability and statistical methods, including stochastic processes.
  • Strong written and verbal communication skills.
  • Proven ability to perform analysis and problem-solve using computational tools.
  • Self-motivated team player.
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