Risk Division - Dallas - Associate, Model Risk- 4554990

Goldman Sachs • Dallas, TX

2d • Onsite

About The Position

The Associate, Model Risk role with Goldman Sachs & Co. LLC in Dallas, Texas, involves analyzing, monitoring, and assessing model risk associated with the development and implementation of counterparty credit risk models. These models are used in Prime Brokerage and Clearing across various asset classes including equities, crypto, commodities, FX, and credit. The role requires assessing model implementation risk by analyzing code and changes, verifying the conceptual soundness and mathematical correctness of models, and examining implementation code in platforms like C++, Java, Python, or R. Responsibilities include documenting validation fieldwork in Latex for version control, reporting findings to model owners and developers, providing updates for regulatory exams, monitoring model performance, investigating incidents, collaborating with Risk governance and other groups on risk model issues and regulatory requirements, and advising senior management on risks associated with new initiatives and model changes.

Requirements

• Master’s degree (U.S. or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Industrial Engineering or related field and one (1) year of experience in the job offered or in a related role OR Bachelor’s degree (U.S. or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Industrial Engineering or related field and three (3) year of experience in the job offered or in a related role.
• Prior experience must include one (1) year of experience with Master’s degree or three (3) years of experience with Bachelor’s degree with the following: working with Counterparty Credit Risk Models.
• Performing-testing analysis of statistical models to assess their consistency and performance against historical data.
• Scripting with Python and working with relational databases and SQL for data extraction and processing.
• Pricing and risk analysis of derivative products including futures, options and swaps.
• Performing model development, testing, validation, and issue remediation throughout the model life cycle.
• Writing formal version-controlled validation reports using LaTex, including equations and tables.

Responsibilities

• Analyze, monitor, and assess model risk associated with the development and implementation of counterparty credit risk models used in Prime Brokerage and Clearing across a wide range of assets including equities, crypto, commodities, FX and credit.
• 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 including C++, Java, Python, or R.
• Document the entire validation fieldwork in Latex files for automated version controls and report major validation findings to model owners and developers for remedial action.
• Provide timely updates as required to meet requirements set out in regulatory exams.
• Monitor the performance of the Firm’s counterparty credit risk models and investigate major model-related incidents.
• Team with Risk governance, and other federation groups to address any counterparty credit risk model-related issues or new regulatory compliance requirements.
• Advise senior management on the risks associated with new initiatives and changes to existing counterparty credit risk models.

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level