Risk Engineering - Credit Risk Strat - Associate/VP - London Risk Engineering - Credit Risk Strat -  …

Goldman Sachs
in London, United Kingdom
Permanent, Full time
Last application, 21 Oct 20
Competitive
Goldman Sachs
in London, United Kingdom
Permanent, Full time
Last application, 21 Oct 20
Competitive
Risk Engineering - Credit Risk Strat - Associate/VP - London
MORE ABOUT THIS JOB
RISK DIVISION
We're a team of specialists charged with managing the firm's liquidity, capital and risk, and providing the overall financial control and reporting functions. Whether assessing the creditworthiness of the firm's counterparties, monitoring credit risks associated with trading activities, or offering analytical and regulatory compliance support, our work contributes directly to the firm's success. The division is ideal for collaborative individuals who have strong ethics and attention to detail.

Risk Engineering ("RE"), which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and effective technologies for risk management. RE is staffed globally with offices including Dallas, New Jersey, New York, Salt Lake City, London, Warsaw, Bengaluru, Singapore, and Tokyo. The Credit Risk Strats group in RE is a multidisciplinary group of quantitative experts focusing on credit risk and capital models. The group is responsible for developing pricing and risk management models for credit risk, stress tests, as well as metrics used to determine the firm's capital requirements.

The responsibilities of the strategist include:
  • Develop, implement, and maintain quantitative measures of credit risk ("Risk Models") such as exposure modelling, Stress Test and Capital models in order to assess the credit risk of the Firm's businesses. This includes:
  • Design and implement methodologies for derivatives modelling, credit valuation adjustment and funding valuation adjustment.
  • Perform analysis of the appropriateness of model assumptions, conduct sensitivity analysis and provide comprehensive documentation of the models.
  • Implement models in production using sophisticated software, such as object-oriented computer languages and design tests to ensure the accuracy of implementation.
  • Coordinate across multiple groups, including strategists, technology and controllers to implement the new capital regulations.
  • Communicate clearly complex mathematical concepts with internal and external stakeholders such as risk managers, senior management and regulators.
  • Perform quantitative analysis and facilitate understanding of the credit risk for a variety of financial derivatives, including exotic products.
  • Provide supervision and quantitative / technical guidance to more junior risk management professionals.
In performing his/her job function, a Vice President in Credit Risk Strat will have the following opportunities:
  • Broad exposure to pricing, risk and capital models for a variety of financial products
  • Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Dynamic teamwork environment.
Qualifications :
  • Strong quantitative skills with an advanced degree (Ph.D. or Master's with relevant experience) in a quantitative discipline (Engineering, Mathematics, Physics, Statistics, Econometrics etc.)
  • Excellent command of mathematics, modeling and numerical techniques. Good knowledge of statistics, econometric modeling and probability theory.
  • Strong programming skills and experience with an object oriented programming language (Java, C++ etc.).
  • Strong written and verbal communication skills - ability to explain complex quantitative concepts to a non-technical audience


RESPONSIBILITIES AND QUALIFICATIONS
The responsibilities of the strategist include:
  • Develop, implement, and maintain quantitative measures of credit risk ("Risk Models") such as exposure modelling, Stress Test and Capital models in order to assess the credit risk of the Firm's businesses. This includes:
  • Design and implement methodologies for derivatives modelling, credit valuation adjustment and funding valuation adjustment.
  • Perform analysis of the appropriateness of model assumptions, conduct sensitivity analysis and provide comprehensive documentation of the models.
  • Implement models in production using sophisticated software, such as object-oriented computer languages and design tests to ensure the accuracy of implementation.
  • Coordinate across multiple groups, including strategists, technology and controllers to implement the new capital regulations.
  • Communicate clearly complex mathematical concepts with internal and external stakeholders such as risk managers, senior management and regulators.
  • Perform quantitative analysis and facilitate understanding of the credit risk for a variety of financial derivatives, including exotic products.
  • Provide supervision and quantitative / technical guidance to more junior risk management professionals.
In performing his/her job function, a Vice President in Credit Risk Strat will have the following opportunities:
  • Broad exposure to pricing, risk and capital models for a variety of financial products
  • Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Dynamic teamwork environment.
Qualifications :
  • Strong quantitative skills with an advanced degree (Ph.D. or Master's with relevant experience) in a quantitative discipline (Engineering, Mathematics, Physics, Statistics, Econometrics etc.)
  • Excellent command of mathematics, modeling and numerical techniques. Good knowledge of statistics, econometric modeling and probability theory.
  • Strong programming skills and experience with an object oriented programming language (Java, C++ etc.).
  • Strong written and verbal communication skills - ability to explain complex quantitative concepts to a non-technical audience


ABOUT GOLDMAN SACHS
ABOUT GOLDMAN SACHS

At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.

We believe who you are makes you better at what you do. We're committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally, from our training and development opportunities and firmwide networks to benefits, wellness and personal finance offerings and mindfulness programs. Learn more about our culture, benefits, and people at GS.com/careers .

We're committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more: https:// www.goldmansachs.com/careers/footer/disability-statement.html

© The Goldman Sachs Group, Inc., 2020. All rights reserved.
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity

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