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. Vice President in Risk Engineering business unit. Participate in the development of simulation models for credit risk computations, which involves designing and implementing methodologies to identify risk factors and capturing their financial and statistical characteristics. Design, implement, execute and maintain a stress testing framework for the firm’s loan portfolios, that address potential future geopolitical risks. Utilize technical/quantitative skills (statistics, mathematics, object-oriented programming) and credit risk modeling experience to develop these systems and models largely independently. Communicate results (orally and in writing) to senior leaders in Risk and Risk Engineering. Develop models based on a deep understanding of derivatives pricing theory, financial markets and instruments, and statistical model building. Specifically, mathematically build and computationally implement a model to predict probability of default (PD) and loss given default (LGD) of commercial real estate (CRE) loans for its usage in Firm’s Comprehensive Capital Analysis and Review (CCAR) stress testing process, and Current Expected Credit Loss (CECL). Responsible to develop and maintain a complex computational framework that runs calculation of Allowance for Loan and Lease Losses (ALLL) under economically stress scenarios. The result of this calculation is part of the Firm’s CCAR submission to Federal Reserve Board (FRB). Draft high-quality technical documentation; collaborate with other groups in various areas of the Firm; and present modeled results to relevant senior leaders and committees. Write and maintain documentation on mathematical models that are used to carry out the calculation as part of their CCAR submission to FRB. Additionally, formally present stress test results which are computed using the model developed by the beneficiary to the Firm’s Stress Testing Committee (STC) before the result is submitted to FRB.
Job Requirements: Master’s degree (U.S. or foreign equivalent) in Mathematics, or a relevant quantitative field, such as Physics or Mechanical Engineering. Three (3) years of experience in the job offered or in a related position. Must have three (3) years of experience with: in Object oriented programming for mathematical models, in languages such as C/C++; Scientific Computing and high-performance computing; credit risk modeling experience for loans; and writing technical, mathematical documents including experience in the LaTeX mathematical documentation language. Must have two (2) years of experience with: presenting and communicating highly technical material to diverse audiences; and exploring large sets of data using statistical packages in programming environments such as Python.
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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