Risk - Model Risk Management - Executive Director - London

Employer
Goldman Sachs International
Location
London, United Kingdom
Salary
Competitive
Posted
Apr 21, 2018
Closes
May 22, 2018
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
MORE ABOUT THIS JOB Application Opening Date: 04 April 2018
Application Closing Date: 01 May 2018
Location: London
Salary: Competitive
Full time

OUR IMPACT

The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, London, Singapore, Hong Kong, and Bengaluru. The MRM group is responsible for independent oversight of Model Risk at the firm, ensuring compliance with the Model Control Policy and related requirements, including documentation to evidence effective challenge over the Model development, implementation and usage of Models.

The group's primary mandate is to manage risk that arises from models used in the firm through its range of businesses- from models used for derivatives valuation to models used for risk management, liquidity and capital computations. In addition to independently reviewing these classes of models for their validity, theoretical consistency and implementation accuracy, the group is also responsible to assess the risk associated with model choice, e.g., exposure to choice of model in various contexts such as pricing complex options or in calculating capital.


RESPONSIBILITIES AND QUALIFICATIONS HOW YOU WILL FULFIL YOUR POTENTIAL

- Perform independent models validation and approval. Model validation entails assessing models in a very critical way, verifying their conceptual soundness, mathematical correctness and code implementation.
- Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management.
- Oversee ongoing model performance monitoring, including benchmarking and outcome analysis, performed by model developers
- Conduct periodic meetings with other control side stakeholders to review results of testing they perform
- Conduct annual review and revalidation of existing models
- Advise management on the risks associated with particularly large transactions, by leveraging understanding of model performance

SKILLS AND EXPERIENCES WE ARE LOOKING FOR

- Strong academic record with Bachelor's or advanced degree Mathematics, Engineering, Statistics or a related quantitative discipline required
- Significant investment banking industry experience with focus on Model Risk/Risk Management required
- Must be CFA, FRM qualified or working towards qualification
- Experience of developing financial/mathematical models (includes pricing, valuation and risk models) and data, model validation, testing required
- Knowledge of Linear Gaussian Markov model, Libor Market Model and Local Volatility Model required
- Strong knowledge of pricing, algorithms and experience of data analysis and working with large datasets required
- Knowledge of interest rate/equity derivatives and experience of working with swaps, swaptions and complex products required
- Programming experience with Scala, C/C++, Matlab required
- Excellent analytical, quantitative, interpersonal, and organisational skills required
- Must have ability and willingness to quickly learn proprietary technologies
- Ability to work on multiple projects in a highly pressurised environment required
- Strong client/stakeholder relationship management skills required
- Must be a team player

ABOUT GOLDMAN SACHS 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.

© The Goldman Sachs Group, Inc., 2018. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.

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