Risk Division - New York - Associate, Model Risk - 4642340

Job description

Job Duties: Associate, Model Risk with Goldman Sachs & Co. LLC in New York, New York. Analyze, monitor, and assess model risk associated with the development and implementation of interest rate pricing models. Assess model implementation risk by analyzing implementation code and reviewing all associated changes. Verify the conceptual soundness of models and their mathematical and statistical correctness. Examine code implementation in a variety of platforms. Develop and implement benchmark models to analyze the production model performance. Document the entire validation fieldwork in Latex files for automated version controls and report validation findings to model owners and developers for remedial action. Monitor the performance of the Firm’s interest rate pricing models and investigate model-related incidents. Work with other stakeholders to address any model-related issues or new regulatory compliance requirements. Advise senior management on the risks associated with new initiatives and changes to existing interest rate pricing models. Job Requirements: Master’s degree (U.S. or foreign equivalent) in Economics, Finance, Financial Economics, Mathematics, or a related field and...