Risk Division - New York - Associate, Model Risk - 9308647

Job Duties: Associate, Model Risk with Goldman Sachs & Co. LLC in New York, New York. Independently validate the mathematical correctness, statistical correctness and conceptual soundness of complex equity pricing models. This includes rigorous assessment of model assumptions, derivations, and limitations. Examine programming implementation and review all associated changes of equity pricing models across a variety of platforms, ensuring accuracy, efficiency, and adherence to coding best practices. Apply techniques like code review, unit testing, and integration testing. Develop and implement benchmark models using techniques such as Monte Carlo simulation, finite difference methods, and tree-based methods to rigorously analyze the performance of production equity pricing models. Document the entire validation fieldwork in Latex files for automated version controls and report major validation findings to model owners and developers for remedial action. Monitor the performance of the Firm's equity pricing models and investigate major model-related incidents. Collaborate with stakeholders to address model issues and regulatory compliance and advise senior management on the risks associated with new initiatives and changes to existing equity pricing models.

Job Requirements: Master's degree (U.S. or foreign equivalent) in Mathematics, Finance, Financial Engineering, Physics, Computer Science, or a related field and one (1) year of experience in the job offered or in a relevant role OR Bachelor's degree (U.S. or foreign equivalent) in in Mathematics, Finance, Financial Engineering, Physics, Computer Science, or a related field and three (3) years of experience in the job offered or in a relevant role. Prior experience must include one (1) year with a Master's degree or three (3) years with a Bachelor's degree with: functional scripting languages such as Python, R, or MATLAB.; Object-oriented language such as C++ or Java; Relational databases including Structured Query Language (SQL); Latex as used to produce formal and version-controlled documents with equations and tables; working with data structures and algorithms; identifying bugs and design errors in code snippets; advanced mathematics including probability theory, partial differential equations, and statistics; and numerical techniques including finite differences, Monte Carlo simulation, and numerical integration.

Salary Range: Annual base salary for this New York, New York - based position is $137,000 - $180,000.

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