Risk Model Developer
2 tygodni temu
Risk Engineering Overview
Risk Engineering is a central part of the Goldman Sachs risk management framework. Our team provides robust metrics, data-driven insights, and effective technologies for risk management across the firm. We are responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance.
Quantitative Modeller Role
In Credit Risk Strats, we are a team of quantitative modellers accountable for managing the firm's capital and risk management models. The team is responsible for designing, implementing, and maintaining quantitative measures of risk used in Counterparty Credit Risk. This includes Expected Exposure (EE), Credit Valuation Adjustment (CVA), and Potential Exposure for risk management.
Key Responsibilities
- Design, implement, and maintain quantitative measures used in the Counterparty Credit Risk area.
- Implement, maintain, and test models using proprietary object database and programming language.
- Coordinate across multiple groups to implement new capital regulations.
- Communicate complex modelling concepts with internal and external stakeholders.
- Perform quantitative analysis and facilitate understanding of risk for financial derivatives.
Qualifications
- We consider candidates with a quantitative discipline (Engineering, Mathematics, Physics, Statistics, Econometrics, Computer Science).
- Excellent problem-solving, analytical thinking, and interpersonal skills.
- Strong programming skills and interest in model development/optimization/refactoring/debugging.
- Exceptional written and verbal communication skills.
- Ability to multi-task and manage deliverables across multiple stakeholders.
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