• Vice President- SEC12418CH

    Location(s) US-NY-New York
    Job ID
    2018-49513
    Schedule Type
    Full Time
    Level
    Vice President/Executive Director
    Function(s)
    Finance
    Region
    Americas
    Division
    Securities
    Business Unit
    Urban Investment Group
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    Vice President with Goldman Sachs Bank USA in New York, NY

     

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

    RESPONSIBILITIES AND QUALIFICATIONS

    Duties: Vice President with Goldman Sachs Bank USA in New York, NY. Design and maintain all models for pricing and risk management for the Urban Investment Group. Those models are used for position valuation, stress testing, budgeting, profit and loss (P&L), and monitoring position level financial risks. Develop and maintain the software system for portfolio management, and timely assess daily P&L and financial risk through automated computer programming across a wide variety of investment products, including private equity, tax credit equity, bank loans, bonds, letter of credit, amongst others. Assist the Urban Investment Group with portfolio level hedging strategies and booking through design and development of software applications that support portfolio pricing and risk management functions. Develop and maintain models to project P&L and evaluate actual performance on a multi-asset class portfolio including bespoke products such as tax credit equity products. Manage analytics to assess the impact of stress tests, including Net Interest Income (NII) on the portfolio, and work with control-side teams to improve the accuracy of stress tests. Develop Comprehensive Capital Analysis and Review (CCAR) models to subject P&L to market stress and project revenue over the course of 9 quarters. Build models to evaluate returns relative to various regulatory capital requirements in order to optimize the capital deployment to help the Urban Investment Group structure investments in a capital efficient manner. Deliver the model to UIG team through an internal website with both front end webpage and backend server code developed and maintained within the Strats team. Design and develop quantitative and computational software programs with good design pattern and robust regression tests for gathering and organizing data and information and for simulating various processes as they relate to the financial markets.

    Job Requirements: Master’s degree (U.S. or foreign equivalent) in Computer Science, Mathematics, or a related quantitative field. Three (3) years of experience in the job offered or related position modeling and analyzing complex financial products. Prior work experience must include three (3) years with: Programming in multiple of the following languages: Python, JavaScript, C++, Java and Scala; Analyzing fixed income instruments and their pricing/valuation models; Analyzing financial mathematics including stochastic calculus, probability and random processes; Developing cross-asset type risk management systems to calculate and monitor incremental financial risks of new positions added to the portfolio, to automate daily risk summary reports; Experience with full stack development of web based applications, including development and deployment of front end JavaScript web App and backend services; Developing and maintaining risk and pricing models and automated risk infrastructure for fixed income derivative instruments; Documenting and implementing automated regression tests for risk and pricing models, including numerical benchmark tests and sensitivity tests; Managing relationships with and explaining complicated risk and pricing models to senior risk managers; and working with complex financial products, including fixed income derivative contracts and credit products, and developing infrastructures to monitor and manage financial risks.

    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., 2018. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.