Vice President - 6985321 Jobs

Job Duties: Vice President with Goldman Sachs & Co. LLC in New York, New York. Quantitative engineering role responsible for developing, implementing, and documenting scenarios comprised of a broad range of economic and financial variables for various business-as-usual, risk, and regulatory stress testing processes. Develop, implement, and maintain production quality quantitative measures of market risk (“Risk Models”) for capital and stress testing, guided by financial theory and empirical evidence 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: develop a comprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, as well as test for the continuous functioning of the models; involves prototyping models, implementing them, and designing tests to ensure the quality of the implementation as well as tests for the continuous functioning of the models. Maintain and support model performances: calibration of 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 or uncertainties revealed from 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 documentations of the models covering model purpose, model specification, testing description, empirical evidence. Effectively communicate complex mathematical ideas with internal and external stakeholders such as risk managers, market making businesses, technology, and senior department management.
Job Requirements: Master’s degree (U.S. or foreign equivalent) in Finance, Economics, Financial Engineering, Financial Mathematics, Mathematics, Statistics, or a related financial or quantitative field AND three (3) years of experience in the job offered or in a related role. Must have three (3) years of experience with: programming in an object-oriented computer language such as C++; working with data structures and algorithms; writing SQL to query and manipulate large database tables; executing time-series econometric modeling using techniques including linear regressions, Monte Carlo simulation, classification, and time-series related knowledge like GARCH process; applying machine learning models to identify outliers for financial data; working with regulatory requirements related to stress testing, risk identification and scenario design including Comprehensive Capital Analysis and Review (CCAR) or Current Expected Credit Losses (CECL); working with regulatory rules such as Fundamental Review of Trading Book (FRTB) and researching and implementing models related to FRTB; and performing analysis leveraging market risk, credit risk, liquidity risk, and mathematical finance concepts.
Salary Range: The expected annual base salary for this New York, New York, United States-based position is $170,000 - $250,000. In addition, you may be eligible for a discretionary bonus if you are an active employee as of fiscal year-end.
Benefits: Goldman Sachs is committed to providing our people with valuable and competitive benefits and wellness offerings, as it is a core part of providing a strong overall employee experience. A summary of these offerings, which are generally available to active, non-temporary, full-time and part-time US employees who work at least 20 hours per week, can be found here: https://www.goldmansachs.com/careers/discover/benefits-summary-US.pdf .
©The Goldman Sachs Group, Inc., 2023. All rights reserved. Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity.