Associate - 7025020

Job Description

Job Duties: Associate with Goldman Sachs & Co. LLC in Dallas, Texas. Develop and maintain the Standardized Initial Margin Model (SIMM). Develop tools to optimize the firm's funding and resource utilization. Analyze the performance of SIMM through regular backtesting and benchmarking exercises, and submit the results of analyses to Model Risk Management and external regulators such as Commodities Futures Trading Commission (CFTC). Provide ad-hoc scenario analysis to different trading desks on SIMM and London Clearing House (LCH) Initial Margin (IM) Impacts. Support senior leadership in partnering with business units to incorporate these calculations and analysis into trading decisions. Design and write data queries to extract data from various systems, conduct analysis of portfolio performance, deep dive analysis of trends, summarize findings and recommend changes. Facilitate the adoption of best and effective risk management practices by all participants in the cleared and uncleared derivatives market.

Job Requirements: Bachelor's degree (U.S. or foreign equivalent) in Applied Mathematics, Statistics, Quantitative/Computational Finance, Computer Science/Engineering, or a related field and three (3) years of experience in the job offered or in a related role. Must have three (3) years of experience with: working with Risk management and Pricing System in one of the Global Systemically Important Banks (G-SIBs); working on risk sensitivities, such as DV01 and CS01, and clearable derivative products, such as IRS, FRA, and OIS; utilizing International Mathematical and Statistical Libraries (IMSL) to implement statistical approaches, such as Linear Regression and LASSO Regression, to develop quantitative models that translate into trading decisions; working on model monitoring methods, such as back-testing and sensitivity analysis, for submissions to regulators; utilizing object-oriented programming paradigms in developing quantitative models, tools, and calculators to perform scenario analysis and impact analysis for trading desks; and working on Database Management Systems (DBMS) and SQL to execute data queries and identify trends.

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