Model Risk Validation

1 month ago


Dallas, United States Goldman Sachs Full time

MORE ABOUT THIS JOB:

Goldman Sachs Model Risk Management (MRM) is a multidisciplinary group of quantitative experts located in New York, Dallas, London, Warsaw, Hong Kong, and Bangalore. MRM is responsible for independent oversight and approval of all the firms quantitative models, ensuring compliance with both internal and supervisory standards.

There are a wide variety of models used in the firm across its range of businesses, including ones used for derivatives valuation, risk management, electronic trading. Mathematical methods employed by these models include stochastic processes, machine learning, optimization techniques, statistical analyses and numerical techniques.

RESPONSIBILITIES AND QUALIFICATIONS:

JOB RESPONSIBILITIES

  • Perform validation and approval of the firms models by verifying conceptual soundness, methodology, and implementation, and by identifying limitations and uncertainties
  • Assess and quantify model risk by developing alternative benchmark models
  • Oversee monitoring of ongoing model performance
  • Communicate validation outcomes to key stakeholders and management

QUALIFICATIONS

The MRM group looks for people with strong quantitative and technical backgrounds and a strong interest in financial markets. We seek bright and dynamic individuals with an advanced degree (e.g. PhD, MFE) in quantitative fields such as math, physics, engineering, computer science, or financial engineering. Applicants should possess the following:

  • Excellent quantitative problem solving skills
  • Experience in stochastic modeling, numerical simulation, and data analysis
  • Machine learning knowledge (preferred)
  • Good communication skills with the ability to explain complex problems in a simple way
  • Eagerness and ability to learn new technologies and programming languages
  • Excellent organizational skills
  • Team orientation and ability to work in a fast paced environment

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