Finance - Credit Risk Management Quantitative Modeler/Manager

Finance - Credit Risk Management Quantitative Modeler/Manager

The Credit Risk Management and Advisory Dept at Goldman Sachs is seeking a candidate to join its Credit Strategies Group. CSG is responsible for developing quantitative pricing and risk management models for counterparty credit risk. Credit risk projects include development of pricing and simulation models for interest rate, equities, commodities, FX, and credit derivatives. Credit risk projects also will focus on capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets. Candidates should have a masters or Ph.D in a quantitative subject as well as have knowledge of derivative pricing and financial economics. Since CSG develops prototypes of models as well as assists the IT group in developing and testing production models, substantial programming experience in C++, C#, or Java will be required as well. For internal candidates, facility in Slang/SecDB will be important. The candidate will be responsible for the development of models and methodology and will therefore need to manage the interaction between the IT group and CSG. Moreover, since much of the modeling will need to satisfy regulatory requirements, experience working with and presenting to a regulatory audience is an advantage. Excellent communication skills and teamwork are important attributes as well for successful candidates.


zero mgt day one
7 in group all in
NY role
Help run quant team, mgr has lots on his plate and his role has evolved
now Prime B, operational Risk mgt, Ctpy risk, regulatory
not 100% pure quant, lots of client facing
lots of demand from regulatory
PhD is good but maybe in econometrics, not necessarily stats, mathematics
starts out over the phone, 30 minute screen
not too much programming but important to be technical
maybe someone from model review
40% regulatory issues
60% modeling