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Model Risk

3 months ago


Dallas, United States The Goldman Sachs Group, Inc Full time
Job Description

Risk Division

The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

DEPARTMENT OVERVIEW

The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, Dallas, London, Warsaw, Hong Kong, and Bangalore. The MRM group is responsible for independent oversight of Model Risk at the firm, ensuring compliance with Firmwide Policy on Model Control and related standards, including documentation to evidence effective challenge over the Model development, implementation and usage of Models.

The group's primary mandate is to manage risk that arises from models used in the firm through its range of businesses- from models used for derivatives valuation to models used for risk management, liquidity and capital computations. In addition to independently reviewing these classes of models for their validity, theoretical consistency and implementation accuracy, the group is also responsible to assess the risk associated with model choice, e.g., exposure to choice of model in various contexts such as pricing exotic options or in calculating capital.

JOB RESPONSIBILITIES
  • Perform independent validation and approval of models, including raising and managing model validation findings
  • Conduct annual review and revalidation of existing Models
  • Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
  • Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management
QUALIFICATIONS
  • MRM considers candidates of all degree types, with preference for those in quantitative fields such as math, physics, engineering, computer science, or financial engineering. For certain positions, advanced degrees (eg, PhD, MFE) may be required.
  • Excellent analytical, quantitative, interpersonal, and organizational skills. Team oriented.
  • Strong programming skills.
  • Additional skills/experiences that we value:
    • Model development and/or validation
    • Electronic trading development and/or validation
    • Algorithmic/quantitative/systematic trading strategies, hedge funds, credit risk management


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. We're 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 GS.com/careers.

Benefits
Goldman Sachs is committed to providing our people with valuable and competitive benefits and wellness offerings, as it is a core part of providing a strong overall employee experience. A summary of these offerings, which are generally available to active, non-temporary, full-time and part-time US employees who work at least 20 hours per week, can be found here.