Risk, Model Risk Control Governance, VP, Frankfurt

  • Competitive
  • Frankfurt am Main, Hessen, Deutschland Frankfurt am Main Hessen DE
  • Festanstellung, Vollzeit
  • Goldman Sachs International
  • 17 Jun 18 2018-06-17

See job description for details

MORE ABOUT THIS JOB RISK
The Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm .

RESPONSIBILITIES AND QUALIFICATIONS The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, Salt Lake City, London, Warsaw, Singapore, Hong Kong, and Bangalore. The group's primary mandate is to manage risk that arises from quantitative models used in the firm through its range of businesses from models used for derivatives valuation, risk management, liquidity and capital computations, etc. In addition to independently reviewing these classes of models for their validity, theoretical consistency and implementation accuracy, the group is also responsible for assessing the risk associated with model choice, e.g., exposure to choice of model in various contexts such as pricing exotic options or in calculating capital.

The Model Risk Control Governance team, part of Model Risk Management Group ("MRM"), is responsible for supporting the Model Risk Control Committee ("MRCC") in establishing, enforcing and maintaining an effective Model Risk Management framework and governance structure across the firm. The team is responsible for maintaining the Firmwide Model inventory and establishing standards to ensure appropriate model risk assessment. In addition, the team monitors compliance, by model users or developers, with certain standards regarding development, implementation and use of models or changes to models. We are looking for an experienced candidate at VP level to join our team in Frankfurt to help with implementing and supporting an efficient workflow and ad hoc enhancement projects.

Responsibilities
- Perform independent models validation and approval. Model validation entails assessing models in a very critical way, verifying their conceptual soundness, mathematical correctness and code implementation.
- Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management.
- Oversee ongoing model performance monitoring, including benchmarking and outcome analysis, performed by model developers
- Conduct periodic meetings with other control side stakeholders to review results of testing they perform
- Conduct annual review and revalidation of existing models
- Advise management on the risks associated with particularly large transactions, by leveraging understanding of model performance
- Communicate directly with regulators and Audit functions and coordinate responses to their requests.

Basic Qualifications
Master's or PhD Degree in a quantitative discipline or Batchelor's degree with relevant experience.

Preferred Qualifications
Critical/objective thinker, able to think through processes and engineer workflows
Past work experience with Credit /Market Risk, Regulatory or Audit functions
Programing skills in any commonly used programming language, for example Python, Matlab, C/C++/C#, Java, VB, etc.
Very strong communication skills, with above average presentation skills
Work effectively in a team setting and able to work well under pressure
Proactive and able to work independently by taking ownership and initiative on projects/tasks

ABOUT GOLDMAN SACHS The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.

© The Goldman Sachs Group, Inc., 2018. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.