The Model Risk Management (MRM) group is a multidisciplinary group of quantitative experts at Goldman Sachs with presence in New York, Dallas, London, Warsaw, Singapore, Hong Kong, and Bangalore.
MRM is responsible for independent oversight of the firm’s model risk, ensuring compliance with the Model Control Policy, and evidencing effective challenge over model development, documentation, implementation, and usage.
The group’s primary mandate is to manage risk that arises from model use through the firm’s range of businesses – including derivatives, securities and other investments’ valuation; market, credit and operational risk management; liquidity and capital computations; and more.
JOB RESPONSIBILITIES
Model Governance
- Establish, maintain and enforce the MRM framework and governance structure
- Operate processes related to firmwide requirements supporting the MRM framework.
- Establish requirements specific to Model Inventory, and support quarterly attestations across all divisions in the firm.
- Oversee ongoing Model performance monitoring jointly with Model Validation and enforce change control procedures
- Manage Model validation findings, including tracking and escalation of findings.
- Communicate and coordinate with Compliance to train key stakeholders on Model Control Policy and related requirements, including any significant changes.
- Maintain model inventory data integrity by resolving exceptions from automated checks on inventory changes
- Help process new model classifications, changes, deactivations.
- Provide ad-hoc analysis on model inventory.
- Liaise with MRM Technology team to support Model Inventory Management
- Resolve inquiries from model stakeholders and owners on models inventory.
- Provide support to regulatory processes including IMA/IMM applications, ICAAP, etc
QUALIFICATIONS
- Bachelor’s degree in mathematics, computer science, hard sciences, financial engineering or finance.
- Strong programming skills, including object oriented languages and scripts (e.g., SQL, Access, VBA).
- Experience in a quantitative role in the Financial markets.
- Excellent analytical, quantitative, interpersonal and organizational skills. Team oriented.
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