Jersey City, NJ
Industry: Accounting, Finance & Insurance•
5 - 7 years
Posted 45 days ago
RESPONSIBILITIES AND QUALIFICATIONS
Duties: Vice President with Goldman Sachs & Co. LLC in Jersey City, NJ. Develop, implement, and maintain production quality quantitative measures of market risk (“Risk Models”) for capital and stress testing in order to assess the market risk of the Firm’s businesses. Identify market risk factors for various financial products, analyze the availability and quality of historical data inputs to the models, and build models to capture their economic and statistical characteristics. Implement models in production using sophisticated software, such as 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: 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 such as risk managers, market making businesses, technology, and senior department management. Perform research 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 Modeling team.
Job Requirements: Doctor of Philosophy degree or Master’s degree (US or foreign equivalent) in Mathematics, Physics, Statistics, or related quantitative discipline. Two (2) years of experience (with Ph.D.) or five (5) years of experience (with Master’s) in the job offered or a related role. Must have two years of experience (with a Ph.D.) or five years of experience (with a Master’s degree) with: analyzing regression models; programming in an object-oriented computer language such as C++, data structures, algorithms, or similar; working with SQL to query and manipulate large (millions of rows of data) database tables; performing large scale Monte-Carlo simulations of complete portfolios; explaining complex quantitative concepts to a non-technical audience, both verbally and written; 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; and utilizing parallel and cloud computing to solve computationally expensive problems.