Associate w/ Goldman Sachs & Co. LLC in New York, NY. Associate in Controllers Modeling group within Market Risk Capital and Quantification Group of Risk Division. Focus on capital optimization, DFAST & CCAR stress test modeling, and price verification modeling. Requires: Bachelor’s degree (U.S. or foreign equivalent) in Mathematics, Computational Finance, Computer Science, or a related field and five (5) years of experience in the job offered or a related position OR Master’s (U.S. or foreign equivalent) degree in Mathematics, Computational Finance, Computer Science, or a related field and three (3) years of experience in the job offered or a related position OR Doctorate degree (PhD) with concentration or research in Mathematics, Computational Finance, Computer Science, or a related field and six (6) months of experience in the job offered or a related position. Must have experience with: documenting and performing quality control for financial models, including experience managing relationships with and explaining complicated models in an intuitive way to senior risk managers and regulators; probability theory, linear, vector and quantile panel regressions, including experience applying this knowledge to projection of financial derivative prices and finance-specific forecasting; using time series analysis and data mining techniques to analyze historical market data and indicators, fit descriptive and predictive models, and perform back-tests; financial engineering experience in deterministic and stochastic algorithms to solve financial models, including derivative pricing, Monte Carlo, and backward induction methods; Regulatory Capital, Risk-Weighted Assets, Capital Ratios, Balance Sheet, and Federal Reserve stress tests (DFAST and CCAR); derivative balance sheet mechanics, including counterparty netting and collateral; object-oriented programming (such as C/C++), data structure and algorithm optimization, SQL, Unix/Linux environment, experience with large scale systems, and software quality control; writing commercial software for distributed computing and messaging, and solving heavily computational problems; working with scalable source control systems, such as CVS, RCS, Perforce. Job Code: RK12418YZMRMA.
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