Quantitative Risk Modeler

4 weeks ago

London, Greater London, United Kingdom Goldman Sachs Full time

Job Summary

The Goldman Sachs Group, Inc. is a leading global financial services firm providing investment banking, securities and investment management services to a substantial and diversified client base. We are seeking a highly skilled Risk Architecture Counterparty Credit Risk Strat – Risk Engineering in London.

About the Role

As a Risk Architecture Counterparty Credit Risk Strat, you will be responsible for designing and implementing methodologies to identify model limitations across various financial products. You will implement models in production using sophisticated software and object-oriented computer languages, develop comprehensive documentation of processes and models, and communicate complex mathematical ideas with internal/external stakeholders.

Responsibilities

  • Design and implement methodologies to identify model limitations across various financial products.
  • Implement models in production using sophisticated software and object-oriented computer languages.
  • Develop comprehensive documentation of processes and models.
  • Communicate complex mathematical ideas with internal/external stakeholders.
  • Lead regulatory engagements in the area of counterparty credit risk model performance.
  • Provide supervision and quantitative/technical guidance to more junior risk management professionals.

Requirements

  • Advanced degree (PhD preferred) in a quantitative field such as Mathematics, Statistics, Physics, or a related quantitative field.
  • Hold excellent command of mathematics, modeling, and numerical algorithms.
  • Experience in a counterparty credit risk backtesting function of a regulated financial institution.
  • Deep knowledge of advanced probability and statistical methods, including stochastic processes.
  • Strong written and verbal communication skills.
  • Proven ability to perform analysis and problem-solve using computational tools.

How You Will Fulfill Your Potential

  • Broad exposure to pricing, calibration, risk, and capital models for a variety of financial products.
  • Exposure to challenging quantitative problems such as modeling of derivatives and large-scale Monte Carlo simulations of complex portfolios across the firm.
  • Opportunities to work closely with leadership and with other groups across the firm to drive forward high-priority initiatives.

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