The Core Engineering - Quantitative Engineer - Associate - Paris

Goldman Sachs; Paris; On-site; EUR 140,000 - 180,000; Full time

Job summary

Goldman Sachs in Paris is seeking a Vice President for Market Risk Strats to design, implement, and maintain quantitative models for equities risk and capital analytics. The role emphasizes leadership of a team of quantitative analysts and collaboration with risk managers and stakeholders across the organization.

The successful candidate will have a PhD or equivalent experience in a quantitative field, strong programming skills (Java, C++, Python), and a track record in pricing and risk modeling

Qualifications

• PhD in a quantitative discipline with 5+ years of experience, or Bachelor’s/Master’s with 8+ years.
• Strong mathematics, statistics, time series analysis, econometric modeling.
• Experience in developing pricing/risk models for equities (derivatives).
• Experience leading a team of quantitative analysts.

Responsibilities

• Develop, refine and maintain production-grade market risk models (VaR, stress tests) and capital models for equities/derivatives.
• Prototype, implement and test models; ensure quality and reliability of analytics.
• Perform pricing and risk/capital impact analyses.
• Explain results to risk managers and stakeholders and provide quantitative advice.
• Lead a team of quantitative analysts and manage day-to-day activities.

Skills

Quantitative skills

PhD in quantitative field

Programming (Java, C++, Python)

Time series econometrics

Team leadership

Education

PhD in Physics/Math/Quant Finance/CS/Engineering

Bachelor's/Master's in quantitative field

Tools

Java

C++

Python

Job description

MARKET RISK STRATS, RISK, VICE PRESIDENT

We are currently seeking experienced candidates for the position of Vice President in Market Risk Strats team within the Risk Division to lead Equities Market risk Strats

The Market Risk Strats team is a multidisciplinary group of quantitative experts focusing on market risk and capital models. The team is primarily responsible for designing, implementing and maintaining quantitative models for metrics such as Value-at-Risk, Stress Tests and Capital.

Responsibilities

The responsibilities can include:

• Developing, refining and maintaining robust and production quality market risk models (such as value-at-risk, stress tests) and capital models covering Equities businesses.This involves identifying market risk factors for various equity products (derivatives) and building mathematical models to capture their economic and statistical characteristics.
• Implementing, testing and productionizing models and analytics. This involves prototyping models, implementing them and designing tests to ensure the quality of implementation as well as tests for the continuous functioning of the models.
• Performing pricing analyses, risk and capital impact analyses.
• Interact with various other groups such as risk managers, senior managers and stakeholders to explain the results of the models and analytics and provide quantitative advice.
• Leading a team of quantitative analysts, managing their day-to-day activities.

Basic Qualifications

• Strong quantitative skills with a PhD degree in a quantitative discipline (Physics, Mathematics, Quantitative Finance, Computer Science, Engineering, etc.) along with 5 years of relevant work experience or a Bachelor’s/Master’s degree in a quantitative discipline with 8 years of relevant work experience.
• Excellent command of mathematics, modeling and numerical techniques. Good knowledge of statistics, time series analysis, econometric modeling and probability theory.
• Strong programming skills and experience with a popular programming language (Java, C++, Python etc.).
• Hands-on experience of developing pricing models/risk models for equities (derivatives)
• Experience in managing a team of quantitative analysts.

ABOUT GOLDMAN SACHS

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