RSK4532838 – Vice President

Vice President with Goldman Sachs & Co. LLC in New York, NY.

Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)

Duties: Vice President with Goldman Sachs & Co. LLC in New York, NY. Analyze, monitor, escalate and report on model risk for the Firm (i.e. risk associated with the choice of models that are used to price exotic derivative transactions). The models include: pricing models, which price financial products including equity derivatives; and models used for the consumer banking business, including credit scoring models. Work closely with model validators to understand and communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management. Work closely with model validators to review/refine model risk metrics and explore new techniques for assessing pricing model performance such as P&L back-testing of pricing models. Oversee on-going model performance monitoring, including benchmarking and outcome analysis. Organize and conduct periodic meetings with validators to review model risk metrics. Develop tools to facilitate ongoing review of model performance and reporting to senior management.

Job Requirements: Master’s degree (U.S. or foreign equivalent) Mathematics, Physics, Financial Engineering, or a relevant quantitative field, such as Industrial Engineering. Three (3) years of experience in the job offered or a related role. Must have two (2) years of experience with: utilizing financial engineering concepts to understand derivative pricing and risk models, such as Black-Scholes, Local Volatility, Stochastic Volatility, Potential Exposure, Value-at-Risk (VaR) models; computing and analyzing risk metrics using statistical packages in Python and R; developing algorithms to identify patterns and anomalies in risk metrics; communicating complex financial and mathematical concepts to non-technical audiences; financial instruments and financial markets; interacting with global team members in a fast paced environment; and software development with Java, Sybase and Javascript frameworks (such as Angular and React) to build scalable web-apps for analyzing risk metrics, and automate manual processes.

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.

Š The Goldman Sachs Group, Inc., 2019. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.