Goldman Sachs VP Counterparty Credit Risk Strat Architecture London 

United Kingdom, England, London 

952675512

Responsibilities

• Design and implement methodologies to identify model limitations across various financial products, including by testing the appropriateness of model assumptions and conducting sensitivity analysis.
• Implement models in production using sophisticated software and object-oriented computer languages, including develop a comprehensive software code to execute the model in production environment, design tests to ensure the accuracy of implementation, and test for the continuous functioning of the models.
• Develop comprehensive documentation of processes and models covering purpose, specifications, testing description, and empirical evidence.
• Communicate complex mathematical ideas with internal / external stakeholders such as regulators, modelers, technology, and senior management.
• Lead regulatory engagements in the area of counterparty credit risk model performance, including discussions of model performance, suitability of measurement approaches, and results with the regulators.
• Provide supervision and quantitative / technical guidance to more junior risk management professionals, and take on leadership opportunities on department-wide initiatives.
• Recruit and train new members of the Risk Architecture team.

How you will fulfill your potential

• Broad exposure to pricing, calibration, risk, and capital models for a variety of financial products.
• Exposure to challenging quantitative problems such as modeling of derivatives and large scale Monte' Carlo simulations of complex portfolios across the firm.
• Opportunities to work closely with leadership and with other groups across the firm to drive forward high priority initiatives.
• Dynamic teamwork environment.

Qualifications

• Advanced degree (PhD preferred) in a quantitative field such as Mathematics, Statistics, Physics, or a related quantitative field.
• Holders of M.Sc., degrees with relevant technical work experience will also be considered. Must have excellent command of mathematics, modeling and numerical algorithms.
• Experience in a counterparty credit risk backtesting function of a regulated financial institution.
• Deep knowledge of advanced probability and statistical methods, including stochastic processes.
• Strong written and verbal communication skills.
• Proven ability to perform analysis and problem-solve using computational tools.
• Self-motivated team player.