Risk Division - New York - Associate, Model Risk - 9333160

Goldman Sachs • New York, NY

116d • $137,000 - $162,000

About The Position

The Associate, Model Risk position at Goldman Sachs & Co. LLC in New York involves analyzing, monitoring, and assessing model risk associated with the development and implementation of interest rate pricing models. The role requires assessing model implementation risk by analyzing implementation code and reviewing all associated changes. The candidate will verify the conceptual soundness of models and their mathematical and statistical correctness, examine code implementation across various platforms, and develop benchmark models to analyze production model performance. Additionally, the position entails documenting the entire validation fieldwork in Latex files for automated version controls and reporting validation findings to model owners and developers for remedial action. The Associate will monitor the performance of the Firm's interest rate pricing models and investigate model-related incidents, working with other stakeholders to address any model-related issues or new regulatory compliance requirements. The role also involves advising senior management on the risks associated with new initiatives and changes to existing interest rate pricing models.

Requirements

• Master's degree in Economics, Finance, Financial Economics, Mathematics, or a related field and one year in the job offered or in a related role, OR
• Bachelor's degree in Economics, Finance, Financial Economics, Mathematics, or a related field and three years in the job offered or in a related role.
• Prior experience must include one year with Master's degree or three years with Bachelor's degree in evaluating pricing and risks of futures, options, swaps, and general derivatives.
• Experience working with interest rate pricing models.
• Proficiency in functional scripting languages such as Python, R, or MATLAB.
• Experience with object-oriented languages such as C++ or Java.
• Relational database experience including SQL.
• Ability to use LaTex to produce formal and version-controlled documents with equations and tables.
• Experience identifying bugs and design errors in code snippets.
• Experience writing tests to validate code design.

Responsibilities

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

What This Job Offers

• Industry: Securities, Commodity Contracts, and Other Financial Investments and Related Activities
• Education Level: Master's degree