Market Risk Strats

The Core Engineering 

The Core Engineering builds and operates the platforms, applications, data solutions, models, and analytics that power critical processes for The Core divisions of the firm (e.g., Risk, responsible for the risk profile of firm activities; Controllers, responsible for the financial control and reporting obligations; Compliance, responsible for the firm’s compliance, regulatory, and reputational risks; Corporate Treasury, responsible for the firm’s liquidity, funding, balance sheet, etc.; and Human Capital Management, responsible for attracting, developing, and managing a global workforce). A centralized engineering structure in support of The Core enables a common platform model and operating framework that promotes consistent governance and scalable solutions, leveraging cloud, AI, and machine learning for innovation and efficiency. The Core Engineering’s 2,000+ engineers and strats deliver engineering, data, analytics, and quantitative capabilities within six business units: 

• Metrics & Analytics Platforms: responsible for the measurement and management of the firm’s risk, capital, and liquidity for The Core functions
• The Core Strats: responsible for the development and implementation of models and other quantitative methodologies, including the accuracy and attribution of modeled metrics
• Financials & Reporting: responsible for facilitating the production of the firm’s financials and a wide range of reporting functions
• Non-Financial Risk & Controls: responsible for non-financial risk and control processes
• Enterprise Platforms: responsible for platforms and applications that support critical operational processes across The Core such as payments, people processes, and procurement
• Shared Services: responsible for driving the adoption of consistent engineering strategy, including data platforms, cloud, and AI enablement, as well as the management of technology risk 

MARKET RISK STRATS

The Market Risk Strats team within the Core Strats is a quantitative modelling team focusing on market risk and capital models.  The team is primarily responsible for designing, implementing and maintaining quantitative models for metrics such as Value-at-Risk, Stress Tests and Capital.

YOUR IMPACT

The responsibilities can include: 

• Developing, refining and maintaining robust and production quality market risk models (such as value-at-risk, stress tests) and capital mdels. This involves identifying market risk factors for various products and building mathematical models to capture their economic and statistical characteristics. 
• Implementing, testing and productionizing models and analytics.  This involves prototyping models, implementing them and designing tests to ensure the quality of implementation as well as tests for the continuous functioning of the models.
• Performing pricing analyses, risk and capital impact analyses.
• Interact with various other groups such as risk managers, senior managers and stakeholders to explain the results of the models and analytics and provide quantitative advice.

REQUIREMENTS

• Strong quantitative skills with a PhD degree in a quantitative discipline (Physics, Mathematics, Quantitative Finance, Computer Science, Engineering, etc.) or a Bachelor’s/Master’s degree in a quantitative discipline with 1-3 years of relevant work experience.
• Excellent command of mathematics, modeling and numerical techniques. 
• Good knowledge of statistics, time series analysis, econometric modeling and probability theory. 
• Strong programming skills and experience with a popular programming language (Java, C++, Python etc.). 
• Hands-on experience of developing pricing models/risk models.
• Excellent written, verbal and team-oriented communication skills.

ABOUT GOLDMAN SACHS

At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world. 

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