CRMA, Credit Quantitative Analysis - Associate, Irving, Texas 8/27/2016
JOB DESCRIPTIONAPPLY The CRMA Department at Goldman Sachs is seeking a candidate to join its Credit Quantitative Analysis team (CQA). CQA is responsible for developing quantitative pricing and risk management models for credit risk and hedge fund risk. The position is based in Irving, TX.
The responsibilities can include:
- Design and development of models and simulations for stress testing regimes and guidelines requested by US and UK regulators. Will require interaction with regulators.
- Design and development of simulation models for Credit Valuation Adjustment (CVA) and Potential Exposure (PE) for interest rate, equities, commodities, FX, and credit derivatives
Capital simulation models, econometric prediction of default and loss given default, hedging of derivative credit risk, and the risk-return tradeoff in a credit risky portfolio of assets
- Development of prototypes of models and interaction with the IT group in developing and testing production models
- Interaction with other teams in credit risk, market risk, liquidity risk, controllers, technology, model validation and internal audit to deliver consolidated model results to regulators? Masters or Ph.D. in a quantitative subject (Math, Physics, Engineering, Finance)
? Knowledge of derivative pricing and financial economics
? Programming experience in Matlab, C++, C#, or Java
? Communication skills and teamwork are important attributes for successful candidates
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet. The Goldman Sachs Group, Inc., 2015. All rights reserved.*****