Associate with Goldman Sachs & Co. LLC in New York, NY
RESPONSIBILITIES AND QUALIFICATIONS:
Duties: Associate with Goldman Sachs & Co. LLC in New York, NY. Financial Quantitative role with the Capital & Financial Reporting Team in Risk Engineering. Measure, monitor and analyze the Firm’s market risk and market risk capital. Specifically, measure losses the Firm would experience under a variety of normal and extreme market conditions for cash and derivative products across equity, credit, interest rate, foreign exchange and commodity asset classes and business units globally. Perform root cause analysis for all data anomalies highlighted within the verification process, managing the diagnosis, escalation and resolution process. Project market risk capital requirements under baseline and severely adverse scenarios as part of the Firm’s Comprehensive Capital Analysis and Review. Develop, implement and enhance analysis methodologies, such as risk decomposition and “what-if,” in order to explain the Firm’s risk profile and the results of market risk capital models. Design and maintain a set of controls which ensure the completeness and accuracy of quantitative measures. Provide regular updates to senior management on changes in the Firm’s positions and market risk measurements, highlight drivers of the changes, historical trends and topical market events. Assist in reporting market risk information to internal and external bodies and participate in the preparation of public disclosures. Assist trading desks on risk/reward analysis and assess risk-weighted capital requirements associated with new and existing products and transactions, utilizing knowledge of Basel regulatory capital framework, financial markets and instruments, and risk models. Work closely with modeling and technology teams on model enhancements and system updates by providing advice, testing and documentation, and by performing parallel runs and impact analysis.
Job Requirements: Bachelor’s degree (U.S. or foreign equivalent) in Quantitative Finance, Mathematics, Statistics or a related field. Minimum three (3) years of experience in the job offered or in a related role. Prior experience must include three (3) years of experience with: performing a risk management role as it relates to financial markets for one or more businesses; performing quantitative analysis of cash and derivative products across asset classes, including equity, credit, interest rate, foreign exchange and commodity, in order to determine market risk under various scenarios; projecting market risk capital measurements including Value-at-Risk (historical method and Monte Carlo simulation), stressed Value-at-Risk and Incremental Risk Charge; analyzing market risk measurements including Greeks, single and multiple asset stress tests and Jump-to-Default; developing, implementing and enhancing financial risk analytics and applying risk decomposition, sensitivity analysis and “what-if” analysis techniques; researching and analyzing capital adequacy-related topics including the Minimum Capital Requirements for Market Risk within the Basel Capital Accord; communicating at senior levels of an organization and explaining complex financial models and mathematical concepts to various technical and non-technical audiences; and working on strategically focused projects which touch on risk measurements and workflow efficiencies such as model changes, infrastructure updates or roll-out of new quantitative measures. Prior experience must include one (1) year of experience with: Researching and analyzing capital adequacy-related topics including the Comprehensive Capital Analysis and Review.
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.
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