Vice President with Goldman Sachs & Co. LLC in Jersey City, NJ.
Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)
Duties: Vice President with Goldman Sachs & Co. LLC in Jersey City, NJ. Independently develop, implement, and maintain production quality quantitative measures of market risk (“Risk Models”) for stress testing in order to assess the market risk of the Firm’s businesses, in particular Hedge Funds, Mutual Funds, and private accounts. Identify market risk factors for various financial products; analyze the availability and quality of historical data input to the models, and build models to capture their economic and statistical characteristics. Independently implement models in production using sophisticated software, including SQL, and object-oriented computer languages: develop a comprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, and test for the continuous functioning of the models. This involves prototyping models, implementing them, designing tests, and subjecting the models to stress-tests and Monte-Carlo simulations to ensure the quality of the implementation as well as the tests for the continuous functioning of the models. Maintain and support model performances without supervision including calibrate models, examine test performances, update historical time series as market evolves, and adapt the changes in market dynamics to ensure appropriate model outcome. Address model limitations/uncertainties revealed from the independent model review process to further enhance the models and perform quantitative analysis on questions raised by Regulators. Participate in the governance of risk models, including working with model risk management, market making businesses, technology and department management. Provide comprehensive documentation of the models covering model purpose, model specification, testing description, and empirical evidence. Communicate complex mathematical ideas with internal/external stakeholders including risk managers, market making businesses, technology, and senior department management. Perform research without supervision to analyze risks related to the modeling approach and impact of new products in an investment context. Build scalable and modular cross-asset class analytics to inform market risk stakeholders and senior management. Provide informal supervision and quantitative/technical guidance to more junior risk management professionals, and take on leadership opportunities on department-wide initiatives. Recruit and train new members of the Market Risk Strats team.
Job Requirements: Ph.D. degree (U.S. or foreign equivalent) in Mathematics, Physics, Statistics, Operations Research, or related quantitative discipline and two (2) years of experience in the job offered or in a related role OR Master’s degree (U.S. or foreign equivalent) in Mathematics, Physics, Statistics, Operations Research or related quantitative discipline and five (5) years of experience in the job offered or in a related role. Must have two (2) years of experience (with a Ph.D.) or five (5) years of experience (with a Master’s degree) with: analyzing regression models; programming in an object-oriented computer language including C++, JAVA, C# or similar, leveraging data structures and algorithms; working with SQL to query and manipulate large (millions of rows of data) database tables where reference information and computational output including pricing results are stored; challenging quantitative problems modeling risks for derivatives, performing large scale Monte-Carlo simulations of complete portfolios across a firm, and fast and accurate approximate market risk measurements; building scalable and modular cross-asset class analytics; designing, implementing, and documenting risk models and performing related quality control, including working with exotic derivative pricing models; developing strategies for scheduling, prioritizing, and completing several complex projects concurrently; utilizing parallel and cloud computing to solve computationally expensive problems; Vanilla and exotic pricing models and risk models, and their usage in capital and day-to-day controls; performing research to understand the nature of risks in an investment context, including researching modeling approaches and the impact of new products; and explaining complex quantitative concepts (both orally and in writing) in an intuitive way to a non-technical audience.
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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