We are currently seeking an Associate candidate who will be a member of the Derivatives Analysis (DA ) group within the Market Risk Management and Analysis (MRMA) Department. The position is based in New York.

DA is a multidisciplinary group of quantitative experts focusing on derivatives valuation and risk across all production areas. The group is responsible for model risk, model validation and model control. Within DA, we are expanding the team that is responsible for models of empirical risks, such as potential credit exposures (PE), market risk (VaR, Value at Risk) and operational risk. Responsibilities

The responsibilities of the Associate can include: Admissibility of Risk Models – Analyze if a given model solves the problem for which it is intended, and if it is consistent with financial theory and empirical facts. Which additional analyses would we like to see to convince us of the admissibility of the model? Evaluate Model Documentation – Compare model documentation produced by the model developers against our standards. E.g.: Has the product been described carefully? Is the content of the documentation sufficient for a competent quantitative developer to implement the same model and to reproduce numerical results within some numerical tolerance? Analyze Tests – The developers of the model have to implement tests which provide evidence that the functionalities as described in the model documentation have been faithfully implemented. Evaluate the existing tests for adequacy and completeness. Where appropriate, request additional tests or modifications to the existing tests. Model Risk – Assess and quantify the risk associated with the choice of models that are used to measure risk. Identify alternative reasonable models, implement them, and analyze the impact. Best judgment is to be relied upon in identifying suitable methods for this analysis.

Range of Products – Coverage will range across all product areas, from interest rate products, credit derivatives, equity derivatives, FX products to commodities derivatives. The candidate will need to build expertise on each of these areas. Opportunities In performing his/her job function the Associate will have the following opportunities:

• Opportunities to learn - Broad exposure to risk modeling issues for different products
• Value added not done elsewhere in the firm – Independent validation of our risk models gives senior management confidence in our models and an understanding for their relative strengths and weaknesses.
• Challenging problems - Exposures to challenging problems such as large scale Monte-Carlo simulations of complete portfolios across the firm, fast and accurate approximate pricing of derivatives, and aggregation, netting, and application of collateral in portfolio credit risk.
• Utilize finance/quant knowledge - Opportunities to utilize quantitative and programming skills as well as products and markets knowledge
• Interaction with other groups - Opportunities to work with risk managers in various areas of the firm (e.g. Credit Department and Market Risk group)
• Team work environment - Dynamic team work environment, clear department goals, and access to senior department managers

Qualifications (1) PhD in a quantitative field such as mathematics, physics, statistics or engineering. (2) Excellent command of mathematics, modeling and numerical algorithms. Good knowledge of statistics and time series analysis a definite plus. (3) Strong programming skills and experience with an object oriented programming language (Java ok, C++ preferred). (4) Strong written and verbal communication skills.

To apply, please send your resume to: nadine.greenspan@gs.com and indicate "Job Title" in the subject line.

Please note that we will only respond to those resumes for which we have an interest. Goldman Sachs is an Equal Employment Opportunity Employer and does not discriminate in employment on the basis of age, race, color, gender, national origin, disability, veteran status, or any other basis that is prohibited by applicable law.