Goldman Sachs Risk Model Management Vice President Warsaw 

Poland, Masovian Voivodeship, Warsaw 

803658845

MODEL RISK MANAGEMENT (MRM)

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 exotic options or in calculating capital.

RESPONSIBILITIES

• Perform independent validation and approval of models, including raising and managing model validation findings
• Conduct annual review and revalidation of existing Models
• Oversee ongoing model performance monitoring, including benchmarking, process verification and outcome analysis performed by model developers
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management

QUALIFICATIONS

• MRM considers candidates of all degree types, with preference for those in quantitative fields such as math, physics, engineering, computer science, or financial engineering. For certain positions, advanced degrees (eg, PhD, MFE) may be required.
• Excellent analytical, quantitative, interpersonal, and organizational skills. Team oriented.
• Strong programming skills.
• Additional skills/experiences that we value:
  • Model development and/or validation
  • Electronic trading development and/or validation
  • Algorithmic/quantitative/systematic trading strategies, hedge funds, credit risk management

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