Credit Risk Management and Advisory, Risk Parameter Quantification Team, Associate/Vice President, Salt Lake City
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POST DATE 8/21/2016
END DATE 12/7/2016
Goldman Sachs Group, Inc.
Salt Lake City, UT
JOB DESCRIPTIONCredit Risk Management and Advisory (CRMA)
The Credit Risk Management & Advisory Department (?CRMA?) is a central part of the Goldman Sachs risk management framework, with primary responsibility for assessing, monitoring and managing credit risk at the Firm. CRMA is staffed globally with offices including New York, London, Frankfurt, Salt Lake City, Singapore, Hong Kong and Tokyo. As a member of CRMA you will interface with a variety of divisions around the firm (Legal, Compliance, Operations, etc.) as well as the other regional CRMA offices. The interaction with numerous departments and the diverse projects that ensue allow for a challenging, varied and multi-dimensional work environment.
We partner with other divisions in the firm and externally with clients to support the firm?s wide array of banking and trading business. CRMA professionals are part of the value proposition of the firm and we balance our key functional responsibility of control with that of being commercial. CRMA has strong traditions of risk management, client service excellence and career development opportunities for our people.
Currently we are seeking an Associate/Vice President level candidate to join the Risk Parameter Quantification team responsible for generating the Basel parameters (PD, LGD & EAD) used for Capital estimation purposes complying with regulatory guidance.
Typical responsibilities on this team include the following:
? Partnering with business units and broader Credit department to assess data availability, data sufficiency, and appropriate modelling approaches
? Developing and monitoring the risk models and/or segmentation specific to the retail/securitization exposures
? Quantification of the Basel risk parameters utilizing the models/segmentation
? Documenting the model development/quantification procedures
? Performing the ongoing Model/Segmentation validation tests assessing the strength/stability/accuracy of the models
? Establishing requirements for data maintenance and management and working with Technology on implementation? Strong quantitative and analytical skills with a degree in a quantitative discipline (Statistics, Mathematics, Applied Mathematics, Engineering, etc). Masters degree preferred.
? 4+ years of experience building Credit Risk models for consumer loan products such as personal loans or mortgages or credit cards
? Experience building the Basel A-IRB models, risk segmentation systems and securitizations is preferred
? Experience in retail credit risk analytics
? Strong Excel skills and experience using a Statistical programming tool such as SAS and data query tool such as SQL
? 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
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet. The Goldman Sachs Group, Inc., 2015. All rights reserved.*****