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Associate-Intermediate/Vice President - RSK112117JRM
Goldman Sachs
Salt Lake City, UT, United States
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MORE ABOUT THIS JOB
Associate-Intermediate/Vice President with Goldman Sachs & Co. LLC in Salt Lake City, UT.
Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)
RESPONSIBILITIES AND QUALIFICATIONS
Duties: Associate-Intermediate/Vice President with Goldman Sachs & Co. LLC in Salt Lake City, UT. Assess and quantify risk associated with quantitative models, including Potential Exposure, Loss Given Default, Compliance, Pre-Provision Net Revenue, and Pricing models. Assess model implementation risk by analyzing all models used by the Firm for valuing and risk managing the firm’s portfolio. Test quantitative models to ensure their consistency and validity, including building alternative models to compare performance. Monitor the performance of the models used by the Firm and review results with Regulatory Controllers, Financial Controllers, Credit and Market Risk Management. Leverage understanding of model performance to advise senior management on the risks associated with particularly large transactions.
Job Requirements: Ph.D (U.S. or foreign equivalent) or Master’s (U.S. or foreign equivalent) in Physics, Mathematics, or a related field. Two (2) years of experience with PhD or five (5) years of experience with Master’s in the job offered or a related risk management, programming and statistical analysis role. Prior work experience must include two (2) years with PhD or five (5) years with Master’s: experience with different categories of models including Potential Exposure models, Value-at-Risk (VaR) models, Pre-Provision Net Revenue models, Capital models and Pricing models; utilizing quantitative finance skills such as rate curve bootstrapping, Greeks, option pricing and numerical methods; experience with principal component analysis (PCA), Monte Carlo simulation and statistical regression analysis; evaluating risk models on a wide range of businesses covering both trading and risk management, with understanding of financial markets, financial products and applicable regulatory guidance across a broad range of assets and their pricing models; designing, implementing, and documenting benchmark models through validation of models; utilizing SQL to efficiently query and manipulate large database tables where reference information and computational output such as pricing results are stored; object-oriented, functional, and SQL programming, data structures and algorithms and experience with software quality control; applying mathematical skills to understand and develop financial models, including probability, stochastic differential equations and numerical analysis; programming in an object-oriented computer language such as C++
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., 2017. All rights reserved
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.