The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm.
DEPARTMENT OVERVIEW
The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, Dallas, London, Warsaw, Hong Kong, and Bangalore. The MRM group is responsible for independent oversight of Model Risk at the firm, ensuring compliance with Firmwide Policy on Model Control and related standards, including documentation to evidence effective challenge over the Model development, implementation and usage of Models.
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.
JOB 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.
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Salary Range The expected base salary for this New York, New York, United States-based position is $110,000-$180,000. In addition, you may be eligible for a discretionary bonus if you are an active employee as of fiscal year-end.
Benefits Goldman Sachs is committed to providing our people with valuable and competitive benefits and wellness offerings, as it is a core part of providing a strong overall employee experience. A summary of these offerings, which are generally available to active, non-temporary, full-time and part-time US employees who work at least 20 hours per week, can be found here .