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Quantitative Risk Analyst
2 months ago
Position Overview:
As a Quantitative Risk Analyst at Goldman Sachs, you will play a pivotal role in enhancing risk validation frameworks within our financial services environment.
Your responsibilities will include the development and refinement of sophisticated risk assessment models utilizing extensive computational resources to ensure the integrity of pricing models across various asset classes, including interest rate and inflation.
In this role, you will evaluate and optimize alternative risk assessment methodologies at both trade and portfolio levels, focusing on identifying critical risk factors that may not be captured by existing models. You will conduct scenario analyses to uncover potential risk exposures.
Additionally, you will oversee the calibration and pre-pricing processes for various financial models, applying advanced mathematical techniques such as Gradient Descent Optimization to ensure robust performance across different confidence intervals.
Your expertise will be essential in assessing the health of risk calibration models through the use of Jacobian Matrices and time series analysis, while also determining appropriate calibration instruments based on market dynamics and trading activities.
Monitoring trade and entity risk levels will be a key responsibility, utilizing metrics such as credit spreads and potential exposure, and collaborating with stakeholders to address any identified production challenges.
Furthermore, you will enhance CVA (Credit Valuation Adjustment) and FVA (Funding Valuation Adjustment) models to analyze risk factors across multiple stress scenarios and product lines.
Your role will also involve evaluating counterparty credit risk against established limits, employing statistical and stochastic methodologies, and leveraging your knowledge in financial engineering and simulation techniques.
Qualifications:
A Master's degree (or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Applied Mathematics, or a related quantitative discipline, along with one (1) year of relevant experience in a quantitative risk role, OR a Bachelor's degree (or foreign equivalent) in a similar field with three (3) years of relevant experience.
Candidates should possess experience with programming languages such as C++, Java, Python, and R, and have a strong foundation in developing probability and pricing models based on financial mathematics principles.
Proficiency in quantitative analysis, model development, and risk management techniques, including advanced econometric and statistical methods, is essential. Familiarity with data management and performance analysis tools will be advantageous.
Compensation:
The anticipated annual base salary for this position is between $138,000 and $166,000, with potential eligibility for a discretionary bonus based on performance.
Benefits:
Goldman Sachs is dedicated to offering competitive benefits and wellness programs, contributing to a positive employee experience.
Application Process:
Interested candidates are encouraged to explore opportunities through the company's career portal. Goldman Sachs is an equal opportunity employer, committed to diversity and inclusion in the workplace.
