Goldman Sachs & Co. Finance, Market Risk Management and Analysis (MRMA), Risk Architecture (RA), Associate/Vice President, Irving in Irving, Texas
MORE ABOUT THIS JOB
Risk Division : Market Risk Management & Analysis |Risk Architecture
Market Risk Management & Analysis (MRMA) is a department within the Risk Division of Goldman Sachs responsible for the independent measurement, monitoring and governance of the firm’s market risk exposures and market risk capital.
Risk Architecture (RA) is a group within MRMA that governs the design and implementation of market risk and capital measures, including model performance, backtesting and industry advocacy. Its functions include:
Identifying weaknesses in risk / capital measures by detecting inconsistencies between risk and P&L via backtesting and empirical tests.
Identifying emerging regulatory changes on risk and capital calculation and model assessments.
Influencing regulatory technical standards development via industry advocacy efforts.
Informing the refinement of models and framework to maximize model approval.
Performing required model assessments, exception analysis, and reporting to maintain model approval.
RESPONSIBILITIES AND QUALIFICATIONS
RA has regional teams in Bengaluru, India and Irving, Texas and is organized as follows. At the legal-entity level RA’s Bengaluru team oversees the firm’s Asian and European entities and its Irving team oversees its Americas entities, which include the firm-wide holding company. At the global-business-unit level RA’s coverage is organized into the following business-unit groups, to which team members from both regional offices are assigned:
Global Interest Rate Products/ Global Liquidity Products/ Mortgages
Foreign Exchange/ Emerging Markets/ Commodities
CreditIn addition to the daily production process RA has the following working groups (WGs), which are comprised of a rotating mix of team members from both regional offices and are focused on the following strategic objectives:
- Regulation & Industry Developments WG– monitors future changes to regulatory requirements and firm policies that are relevant to the model-performance-monitoring process
Standards & Process Controls WG– establishes and enhances the group’s breach-investigation standards and increases the efficiency and effectiveness of its process controls
Tools & Automation WG– creates tools and systems that automate the group’s process to increase its efficiency, reduce its operational risk, and make it scalable for future changes The Associate / Junior-VP will have responsibilities that include:
Performing backtesting and statistical analysis of risk metrics using P&L and rischri changk data to evaluate the performance of the risk and capital models covering all trading businesses.
Performing quantitative analysis to identify sources of model underperformance to inform methodology and data enhancements.
Developing scalable automated techniques for detection and explanation of inconsistencies between risk measures and P&L.
Evaluating new regulatory technical rules and developing industry proposals on refinements needed.
Interacting with product controllers, market risk modelers, trade-desk oversight members, and technology support to confirm observed model performance issues such as backtesting exceptions.
Interacting with internal governing bodies, such as the Risk & Capital Methodology Committee, and with senior management.
Preparing deliverables for external governing bodies, such as national regulators and industry associations.Eligible candidates are preferred to have the following skills and aptitude:
Qualifications, Skills & Aptitude
A Masters / PhD degree in finance / economics or in a technical area such as statistics, operation research, actuarial science, engineering, business information system, computer science or other technical areas.
Strong quantitative and analytical skills
Technology background and programming experience
Experience with, or keen interest to develop expertise in, different markets and asset classes.
Experience with, or keen interest to develop expertise in, derivatives and market risk measures (e.g., VaR).
Ability to work in close coordination with others as part of a team and interact directly with a wide group of professionals throughout the firm
Strong written and verbal communication skills
Highly motivated, self-starter who takes initiative
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., 2017. All rights reservedGoldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.
Schedule TypeFull Time
Business UnitMarket Risk Mgmt & Analysis