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. On the Model Risk Management’s business unit’s Model Validation team. Assess and quantify the risk associated with the choice of models that are used in the firm’s asset management division. Assess model implementation risk by analyzing all models used by the Firm for investment strategy and asset allocation. Verify the conceptual soundness of models, mathematical correctness and code implementation; report findings to model owners for remedial action. Design and perform daily tests to verify the models function properly in stressed scenarios and behave as expected to ensure errors are detected and addressed in a timely manner. Monitor the performance of models used by the Firm. Conduct periodic meetings with other control side stakeholders to review results of testing. Advise senior management on the risks associated with particularly large transactions. Leverage the understanding of model performance to help analyze the impact of models to the Firm’s capital.
Job Requirements: Master’s degree (US or foreign equivalent) in Mathematics, Computer Science, Financial Engineering or a related field plus three (3) years of experience in the job offered or in a related role OR Bachelor’s degree (US or foreign equivalent) in Mathematics, Computer Science, Financial Engineering or a related field plus five (5) years of experience in the job offered or in a role. Must have one (1) year of experience with: Python and Matlab; object oriented languages (such as C++) and scripts (such as SQL, Access, or VBA); testing models to ensure their consistency and validity; monitoring performance of financial models; advising senior management on the risks associated with particularly large transactions; financial products, including options, swaps, fixed income (such as bonds, mortgages, equity); applying machine learning techniques to validate models, including decision trees and neural networks; and applied mathematics, including multivariate regression analysis, time series analysis and, probability theorem.
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.
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