Associate 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: Associate with Goldman Sachs & Co. LLC in New York, NY. Associate in Controllers Modeling group within Market Risk Capital and Quantification Group of Risk Division. Focus on capital optimization, DFAST & CCAR stress test modeling, and price verification modeling. Perform price verification modeling for various equity derivatives products: this includes financial data processing and analysis; identification and calibration of risk factors in the internal pricing model; selection, sourcing, and valuation of the firm’s positions dependent on the risk factors using distributed computing; and using knowledge of financial derivatives pricing, stochastic calculus and numerical methods to ensure accuracy of results on a large scale. Perform CCAR and stress testing modeling. Project and explain the firm’s Balance Sheet, Risk-Weighted Assets, Revenues and Capital Ratios for the firm’s regulatory stress testing. This includes: building predictive models based on knowledge of the firm’s balance sheet, income statements, financial accounting standards, macroeconomics, advanced statistical and time series analysis such as quantile panel regression and vector autoregression; coordinating large scale projects with upstream and downstream stakeholders; communicating with senior management of the firm to explain the results and their drivers; communicating with teams of different backgrounds- including teams focused on Model Validation, Technology, Accounting, Corporate Treasury, and Securities Division. Perform extensive computer programming during the implementation of all models using the firm’s proprietary language, as well as R, SQL, Scala. Must be willing to learn and work with proprietary technologies. No knowledge of proprietary technologies is required pre-hire.
Job Requirements: Bachelor’s degree (U.S. or foreign equivalent) in Mathematics, Computational Finance, Computer Science, or a related field and five (5) years of experience in the job offered or a related position OR Master’s (U.S. or foreign equivalent) degree in Mathematics, Computational Finance, Computer Science, or a related field and three (3) years of experience in the job offered or a related position OR Doctorate degree (PhD) with concentration or research in Mathematics, Computational Finance, Computer Science, or a related field and six (6) months of experience in the job offered or a related position. Must have experience with: documenting and performing quality control for financial models, including experience managing relationships with and explaining complicated models in an intuitive way to senior risk managers and regulators; probability theory, linear, vector and quantile panel regressions, including experience applying this knowledge to projection of financial derivative prices and finance-specific forecasting; using time series analysis and data mining techniques to analyze historical market data and indicators, fit descriptive and predictive models, and perform back-tests; financial engineering experience in deterministic and stochastic algorithms to solve financial models, including derivative pricing, Monte Carlo, and backward induction methods; Regulatory Capital, Risk-Weighted Assets, Capital Ratios, Balance Sheet, and Federal Reserve stress tests (DFAST and CCAR); derivative balance sheet mechanics, including counterparty netting and collateral; object-oriented programming (such as C/C++), data structure and algorithm optimization, SQL, Unix/Linux environment, experience with large scale systems, and software quality control; writing commercial software for distributed computing and messaging, and solving heavily computational problems; working with scalable source control systems, such as CVS, RCS, Perforce.
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.