Risk - Market Risk Modelling - Executive Director - London

MORE ABOUT THIS JOB Application Opening Date: 08 January 2019
Application Closing Date: 04 February 2019
Location: London
Salary: Competitive

OUR IMPACT

The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.

We are currently seeking candidates for the position of Executive Director in Market Risk Modeling group within the Market Risk Management and Analysis (MRMA) department in the Risk division.

The Market Risk Modeling group in MRMA is a multidisciplinary group of quantitative experts focusing on market risk and capital models. The group is primarily responsible for designing, implementing and maintaining quantitative measures of fair value like Value-at-Risk, Stress Tests and Capital.

RESPONSIBILITIES AND QUALIFICATIONS HOW YOU WILL FULFIL YOUR POTENTIAL

The responsibilities of an Executive Director can include:

- Developing, refining and maintaining market risk models (such as value-at-risk, stress tests) and capital models. This involves identifying market risk factors for various financial products (derivatives) and building models to capture their economic and statistical characteristics. This also involves analysing the availability and quality of historical data inputs to the models.
- Implementing, testing and productionizing models and analytics. This involves prototyping models, implementing them and designing tests to ensure the quality of implementation as well as tests for the continuous functioning of the models.
- Providing model, test and model change documentation and quality control of models.
- Performing complex structure pricing analyses, risk and capital impact analyses.
- Interact with various other groups such as market risk analysts to explain the results of the models and analytics and provide quantitative advice.
- Managing day to day activities of a team of quantitative analysts.

SKILLS AND EXPERIENCES WE ARE LOOKING FOR

- Strong academic record with PhD or Master's degree or equivalent in Physics, Mathematics, Quantitative Finance or a quantitative discipline required
- Significant experience of working within investment banking with focus on market risk modelling required
- Must be CFA qualified or working towards certification
- Experience in developing, testing/calibrating market risk models, specifically on Basel capital models like IRC/CRM required
- Experience in risk identification/assessment of ex-otic risk factors from a VaR standpoint required
- Experience in managing a team of quantitative analysts
- Demonstrable involvement with process improvement initiatives required
- Excellent command of mathematics, modeling and numerical algorithms. Good knowledge of statistics, time series analysis, probability theory and simulation techniques used in Finance required
- Strong programming skills and experience with object oriented programming languages (Java, C++.). Knowledge of relational databases like Oracle, SQL, Sybase required
- Knowledge of derivative pricing theory, fixed income markets, options and market risk models
- Strong written and verbal communication skills
- Must be a collaborative 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., 2019. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.