Quantitative Engineering, Risk Economics Strats, Vice President, Salt Lake City

Goldman Sachs, Inc.; Utah; On-site; USD 140,000 - 200,000; Full time

Job summary

Goldman Sachs is seeking a Risk Economics Strats professional to develop macroeconomic and financial scenarios, implement statistical models for credit loss forecasting, and analyze large risk data. The role interfaces with multiple divisions globally to drive data-driven insights and robust risk measures.

The RES team balances risk management with commercial performance, offering opportunities to work across challenging projects and advance within a globally connected risk framework.

Qualifications

• 5+ years of experience in quantitative analysis of credit products, including model development and validation.
• Strong quantitative and analytical skills with a quantitative degree; Masters preferred.
• Experience with advanced statistical techniques and time series analysis.
• Proficiency with SQL, SAS, R, Python; able to mine and analyze large data sets on big data platforms.
• Background with Basel A-IRB models or regulatory stress testing is a plus.
• Strong writing, presentation and communication skills; ability to document models clearly.
• Strong project management and ability to manage multiple assignments concurrently.

Responsibilities

• Partner with business units to assess modelling approaches and data availability.
• Design data queries to extract data from systems and analyze portfolio performance.
• Design and enhance risk models for credit exposures and document procedures.
• Perform ongoing model monitoring for strength and accuracy.
• Define data maintenance requirements and collaborate with Technology on implementation.
• Support portfolio credit loss forecasting and governance by comparing actuals to expectations.
• Create Loss Forecast reporting using Tableau or similar tools for portfolio segments.
• Develop analytical reports and presentations for senior management and regulatory exams.

Skills

Quantitative analysis

Statistical modeling

Strong writing/presentation

Education

Masters degree in quantitative field

Bachelor's degree

Tools

SQL

SAS

R

Python

Hadoop

Spark

Snowflake

Job description

Job Description

Risk Engineering

Risk Engineering, which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and effective technologies for risk management. Risk Engineering is staffed globally with offices including Salt Lake City, Dallas, New Jersey, New York, London, Warsaw, Bengaluru, Singapore, and Tokyo. As a member of Risk Engineering, you will interface with a variety of divisions around the firm as well as the other regional offices. The interaction with numerous departments and the diverse projects that ensue allow for a challenging, varied and multi-dimensional work environment.

Job Summary & Responsibilities

The Risk Economics Strats (RES) team is a central part of the Goldman Sachs risk management framework with primary responsibility for: 1) developing macroeconomic and financial scenarios for firm-wide scenario-based risk management; 2) developing and implementing statistical models for credit loss forecasting, business-as-usual risk management and regulatory stress testing requirements; and 3) analyzing large datasets of risk metrics to extract valuable insights about the firm’s exposures. To fulfill these objectives, Risk Economics Strats interface with a wide array of divisional, finance and risk management groups across the firm. The cross-disciplinary nature of the projects that RES engages in makes for a challenging and multifaceted work environment.

RES professionals are part of the value proposition of the firm, and we balance our key functional responsibility of control and risk management with that of being commercial. RES has strong traditions of risk management, data analytics and career development opportunities for our people.

Responsibilities

• Partner with business units and broader Credit department to assess appropriate modelling approaches as well as data availability/sufficiency.
• Design and write data queries to extract data from credit systems and conduct analysis of portfolio performance, deep dive analysis of trends, summarize findings and recommend changes.
• Design, build, and enhance risk models specific to the credit exposures, and document the model development/quantification procedures.
• Perform ongoing model monitoring assessing the strength/stability/accuracy of the models.
• Establish requirements for data maintenance and management and work with Technology on implementation.
• Provide support for portfolio credit risk loss forecast and governance by tracking the actual performance to expectations.
• Create Management Loss Forecast reporting using Tableau or other cutting-edge visual interface-based tools to monitor portfolio performance at portfolio segment level (e.g., product, vintage, risk segment, score band, or marketing channel).
• Develop analytical reports and presentations for senior management, executive committees and regulatory exams.

Qualifications:

• 5 years of experience in quantitative analysis of credit products (loss forecasting, credit rating, pricing models, and/or market analytics) including model development and validation
• Strong quantitative and analytical skills with a degree in a quantitative discipline (Statistics, Mathematics, Applied Mathematics, Engineering, etc). Masters degree preferred.
• Use complex statistical techniques such as decision trees, regression modeling, machine learning, testing techniques and time series data analysis techniques.
• Use statistical packages like SQL, SAS, R, Python etc., tools to mine, manipulate & aggregate complex consumer and transaction level data on big data platforms such as Hadoop, Spark, Snowflake etc.
• Background with Basel A-IRB models, risk segmentation systems, regulatory stress testing processes (CCAR, DFAST), and/or portfolio loss forecasting is preferred.
• Strong writing, presentation and communication skills; technical writing and model documentation experience desired
• Strong project management / organizational skills and the ability to manage multiple assignments concurrently

ABOUT GOLDMAN SACHS

At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.

We’re committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more: https://www.goldmansachs.com/careers/footer/disability-statement.html