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Goldman Sachs
Date Posted: December 10, 2012Application Deadline: January 15, 2013
Contact Information: Steven Chiou, Steven.Chiou@gs.com
Description:
Quantitative Job opening from Goldman Sachs
Description of our group and the position:
Derivatives Analysis is a multidisciplinary group of quantitative experts at Goldman Sachs focusing on derivatives modelling across all product areas in the firm. We have presence in New York, London, Tokyo, Hong Kong, Singapore and Bangalore. We're looking for bright and dynamic individuals who
- have strong quantitative skills with a Ph. D in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering)
- are comfortable in explaining complicated models in an intuitive way.
- have a good knowledge of C++ programming.
- are team players and have the ability to develop and implement solutions quickly, think through with others.
- comfortable in working in a fast paced environment.
Our function is three fold: (1) We are responsible for assessing and quantifying model risk -- the risk associated with the choice of models that are used to price exotic derivative transactions. As financial derivatives become more complex, so do the models used to value and risk manage them. Our group focuses on quantifying the risks that arises from choice of different models. (2) Model implementation risk - we analyze all models used by the firm for valuing and risk managing derivatives contracts to ensure their consistency and validity. (3) We advise senior management on the risks associated with particularly large transactions.
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