VP, Quantitative Engineering: Build Predictive Risk Models

Goldman Sachs Bank AG; Salt Lake City, Northern (UT, KY); Hybrid; USD 180,000 - 280,000; Full time

Benefits offered by this job

Health and welfare programs

Generous vacation entitlements

Retirement planning support

On-site health centers

On-site child care

Job summary

Goldman Sachs & Co. LLC in Salt Lake City invites a Vice President in Quantitative Engineering to lead scenario development for firm-wide business areas.

You will analyze data, design and implement models, and improve risk analytics in collaboration with internal partners. Applicants should hold an advanced quantitative degree with substantial programming experience (C++, Java, Python) and a strong grasp of stochastic calculus and pricing theory.

Qualifications

• Master’s degree (U.S. or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Computational Finance, Applied Mathematics, or related quantitative field and three (3) years of experience in job offered or a related quantitative engineering role.
• Bachelor’s degree (U.S. or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Computational Finance, Applied Mathematics, or related quantitative field and five (5) years of experience in job offered or a related quantitative engineering role.
• PhD degree (U.S. or foreign equivalent) in Mathematics, Computer Science, Financial Engineering, Computational Finance, Applied Mathematics, or related quantitative field and one (1) year of experience in job offered or a related quantitative engineering role.

Responsibilities

• Lead the development, implementation, and documentation of scenarios comprised of economic and financial variables for Firm businesses.
• Collaborate with internal stakeholders, analyzing user needs from a scenario design perspective and addressing data, model, and implementation issues.
• Analyze large data sets to build predictive models of market variables.
• Develop, refine, and improve scenarios using finance, economics, statistics, and programming knowledge.
• Build and challenge risk models across market, credit, and liquidity risk.
• Create and maintain clear technical documentation of risk-model performance testing approaches.
• Mentor junior and mid-level team members.

Skills

C++

Java

Python

Financial mathematics

Stochastic calculus

No-arbitrage pricing

Monte-Carlo methods

Object-oriented programming

SQL

MongoDB

Education

Master's degree in Mathematics/CS/Financial Engineering

Bachelor's degree in Mathematics/CS/Financial Engineering

PhD in Mathematics/CS/Financial Engineering

Tools

MongoDB

SQL

Job description

Goldman Sachs & Co. LLC in Salt Lake City invites a Vice President in Quantitative Engineering to lead scenario development for firm-wide business areas.

You will analyze data, design and implement models, and improve risk analytics in collaboration with internal partners. Applicants should hold an advanced quantitative degree with substantial programming experience (C++, Java, Python) and a strong grasp of stochastic calculus and pricing theory.