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Risk Division - New York - Associate, Model Risk

$142k - $169k

The Goldman Sachs Group, Inc.

Associate, Model Risk

Analyze, monitor, and assess model risk associated with the development and implementation of interest rate pricing models. Assess model implementation risk by analyzing implementation code and reviewing all associated changes. Verify the conceptual soundness of models and their mathematical and statistical correctness. Examine code implementation in a variety of platforms. Develop and implement benchmark models to analyze the production model performance. Document the entire validation fieldwork in Latex files for automated version controls and report validation findings to model owners and developers for remedial action. Monitor the performance of the Firm's interest rate pricing models and investigate model-related incidents. Work with other stakeholders to address any model-related issues or new regulatory compliance requirements. Advise senior management on the risks associated with new initiatives and changes to existing interest rate pricing models.

Master's degree (U.S. or foreign equivalent) in Economics, Finance, Financial Economics, Mathematics, or a related field and one (1) year in the job offered or in a related role OR Bachelor's degree (U.S. or foreign equivalent) in Economics, Finance, Financial Economics, Mathematics or a related field and three (3) years in the job offered or in a related role. Prior experience must include one (1) year with Master's degree or three (3) years with Bachelor's degree with the following: evaluating pricing and risks of futures, options, swaps, and general derivatives; working with Interest rate pricing models; functional scripting languages such as Python, R, or MATLAB; object-oriented language such as C++ or Java; relational database experience including SQL; LaTex to produce formal and version-controlled documents with equations and tables; identifying bugs and design errors in code snippets; and writing tests to validate code design.

Annual base salary for this New York, New York-based position is $142,000 – $169,000.

Goldman Sachs is an equal opportunity employer and does not discriminate on the basis of race, color, religion, sex, national origin, age, veteran status, disability, or any other characteristic protected by applicable law.

Job Identification 171676

Job Category Associate

Locations New York, NY, United States

Vacancy posted 4 hours ago
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