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Quantitative Engineering - Vice President - Risk Division Goldman Sachs

0.0 - 5.0 years

0 - 5 Lacs

Bengaluru / Bangalore, Karnataka, India

On-site

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Market Risk Strats group in Risk Engineering is a multidisciplinary group of quantitative experts focusing on market risk and capital models. The group is responsible for designing, implementing and maintaining quantitative measures of market risk such as Value at Risk(VaR), Stress Tests, as well as metrics used to determine the firm's capital requirements. The responsibilities of Market Risk Strat include: Develop, implement, and maintain quantitative measures of market risk (Risk Models) such as VaR, Stress Test and Capital models in order to assess the market risk of the Firm's businesses. Work on large datasets to extract useful insights on firm's risks Evaluate new capital regulations, including the Fundamental Review of the Trading Book (FRTB) and facilitate the understanding of their impact on the Firm's market risk capital. Coordinate across multiple continents and multiple groups, including traders, strats, technology and controllers to implement the new capital regulations. Communicate clearly about complex mathematical concepts with internal and external stakeholders such as risk managers, market making businesses, senior management and regulators. Perform quantitative analysis and facilitate understanding of the market risk for a variety of financial derivatives, including exotic products. Provide supervision and quantitative / technical guidance to more junior risk management professionals. In performing the job function, an associate in Market Risk Strat will have the following opportunities: Broad exposure to pricing, risk and capital models for a variety of financial products Exposure to challenging quantitative problems such as modeling market risk for derivatives, large scale Monte Carlo simulations of complete portfolios across the firm, and fast approximation of market risk measurements. Development of quantitative and programming skills as well as product and market knowledge. Work in a dynamic teamwork environment. Basic Qualifications: Bachelor's Degree in a relevant field: Mathematics, Finance, Computer Science, Physics, Engineering Strong quantitative skills and programming skills Good knowledge of statistics, econometric modeling and probability theory. Strong written and verbal communication skills ability to explain complex quantitative concepts to a non-technical audience. Preferred Qualifications: Competence in data science, stochastic processes, and advanced mathematics Experience working with large data sets Knowledge of more than one financial asset class

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Risk-Bengaluru-Vice President-Model Risk Goldman Sachs

0.0 - 5.0 years

0 - 5 Lacs

Bengaluru / Bangalore, Karnataka, India

On-site

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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. The analysis and reporting team is a new function within the MRM group that is responsible for analyzing, monitoring and reporting on model risk for the firm. The group works collaboratively with the model validation team to understand and communicate results of model validation activities, changes in model risk and other model-related issues to key stakeholders and management. WHAT WE LOOK FOR This business is ideal for collaborative individuals who have strong ethics and attention to detail. Whether assessing the creditworthiness of the firm's counterparties, monitoring market risks associated with trading activities, or offering analytical and regulatory compliance support, our work contributes directly to the firm's success. The MRM group looks for people with strong quantitative and technical backgrounds and a strong interest in financial markets. We seek bright and dynamic individuals with a degree in quantitative fields such as math, physics, engineering, computer science, or financial engineering. RESPONSIBILITIES Perform validation and approval of the firm's models by verifying conceptual soundness, methodology, and implementation, and by identifying limitations and uncertainties Assess and quantify model risk by developing alternative benchmark models Oversee monitoring of ongoing model performance Communicate validation outcomes to key stakeholders and management SKILLS AND RELEVANT EXPERIENCE Excellent quantitative problem solving skills Experience in stochastic modeling, numerical simulation, and data analysis Machine learning knowledge Good communication skills with the ability to explain complex problems in a simple way Eagerness and ability to learn new technologies and programming languages Excellent organizational skills Team orientation and ability to work in a fast paced environment

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