Job Details

Credit Risk Strats, Quantitative Engineering - VP, London


Posted: 20 hours ago


Risk Engineering ("RE"), which is part of the Risk Division, is a central part of the Goldman Sachs risk management framework, with primary responsibility to provide robust metrics, data-driven insights, and effective technologies for risk management. RE is staffed globally with offices including Dallas, New Jersey, New York, Salt Lake City, London, Warsaw, Bengaluru, Singapore, and Tokyo.
In Risk Strats, we are a team of quantitative experts charged with managing the firm's liquidity, capital and risk, and providing the overall financial control and reporting functions. The team is also responsible for designing, implementing and maintaining quantitative measures of risk such as Value at Risk, Exposure Modelling, Stress Tests, as well as metrics used to determine the firm's capital requirements. Whether assessing the creditworthiness of the firm's counterparties, monitoring market, credit, and liquidity risks associated with trading activities, or offering analytical and regulatory compliance support, our work contributes directly to the firm's success. The division is ideal for collaborative individuals who have strong ethics and attention to detail.
The responsibilities of the strategist include:
  • Develop, implement, and maintain quantitative measures of risk ("Risk Models") such as Value at Risk, Exposure Modelling, Stress Test and Capital models in order to assess the risk of the Firm's businesses.
  • Perform analysis of the appropriateness of model assumptions, conduct sensitivity analysis and provide comprehensive documentation of the models.
  • Implement models in production using sophisticated software, such as object-oriented computer languages and design tests to ensure the accuracy of implementation.
  • Coordinate across multiple groups, including strategists, technology and controllers to implement the new capital regulations.
  • Communicate clearly complex mathematical concepts with internal and external stakeholders such as risk managers, senior management and regulators.
  • Perform quantitative analysis and facilitate understanding of the risk for a variety of financial derivatives, including exotic products.
  • Provide supervision and quantitative / technical guidance to more junior risk management professionals.
In performing his/her job function, a Vice President in Risk Strats will have the following opportunities:
  • Broad exposure to pricing, risk and capital models for a variety of financial products
  • Exposure to and development of cutting-edge financial mathematics tools and techniques.
  • Development of pricing and simulation models across asset classes, notably for interest rate, equities, commodities, funding, FX, and credit derivatives.
  • Development of quantitative and programming skills as well as product and market knowledge.
  • Dynamic teamwork environment.


  • Strong quantitative skills with an advanced degree (Ph.D. or Master's with relevant experience) in a quantitative discipline (Engineering, Mathematics, Physics, Statistics, Econometrics etc.)
  • Excellent command of mathematics, modeling and numerical techniques. Good knowledge of statistics, econometric modeling and probability theory.
  • Strong programming skills and experience with an object oriented programming language (Java, C++ etc.).
  • Strong written and verbal communication skills - ability to explain complex quantitative concepts to a non-technical audience
At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.

Job Details

Full Time
London, United Kingdom