Goldman Sachs - Analyst/Associate - Risk Architecture

Goldman Sachs - Analyst/Associate - Risk Architecture

The Goldman Sachs Group, Inc. is a leading global financial services firm providing investment banking, securities and investment management services to a substantial and diversified client base that includes corporations, financial institutions, governments and high-net-worth individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centers around the world.

The Analyst/Associate will be a member of the Bengaluru Model Performance Team of the Risk Architecture Group in the Market Risk Management and Analysis (MRMA) Department.

The primary roles of the MRMA Department are to develop appropriate measures of market risk; to use these measures to monitor the market risk that The Goldman Sachs Group, Inc. and its affiliates (the - firm- ) is exposed to and to recommend to the Firmwide Risk Committee appropriate market-risk limits; to recommend policies and standards for model development, approval and control and to validate the firm's valuation and risk models; and to report on market risk, including compliance with market-risk limits, to the firm's senior managers and regulatory authorities. MRMA is also responsible for the calculation, analysis and reporting of market risk capital requirements for the firm and associated businesses.

Risk Architecture is one of groups in MRMA.

Risk Architecture governs the design and implementation of market risk and capital measures, including model performance, back testing and industry advocacy.

Its functions include :

- Perform backtesting and review model performance

- Review new firmwide market risk and capital measures / treatments and changes to existing measures / treatments.

- Review new activities and their implications on risk/capital treatments/methodologies

- Monitor risk and capital methodology / treatment related front to back findings.

- Industry advocacy on risk and capital related regulations.

The Risk Architecture group currently has members in New York and Bengaluru and is looking to expand with a team in Irving.

Responsibilities :

The Analyst/Associate will have responsibilities including :

- Responsible for performing the backtesting of VaR for various portfolios.

- Perform empirical tests for the firm's VaR model on portfolios with direct capital implications.

- Perform analysis to facilitate the regulatory approval of Value-at-Risk based capital treatment.

- Daily/weekly/monthly/quarterly monitoring and analysis of breaches across portfolios.

- Escalate breaches to senior management across the firm accordingly.

- Provide ongoing expert commentary on drivers of backtesting breaches.

- Build relationships with other areas of the firm such as Controllers and the Front Office.

- Maintain constant dialogue with other areas of MRMA including modeling and technology teams to understand changes and resolve issues.

Qualifications :

- A Bachelor/Master/PhD degree in finance/economics or in a technical area such as statistics, operation research, actuarial science, engineering, business information system, computer science or other technical areas.

- Strong quantitative and analytical skills

- Ability to work in close coordination with others as part of a team and interact directly with a wide group of professionals throughout the firm

- Strong written and verbal communication skills

- Highly motivated, self-starter who takes initiative

- Experience and understanding of markets and different asset classes is a plus

- Familiarity with derivatives and market risk measures (e.g. VaR) is a plus

- Programming experience is a plus