T he Risk division is responsible for credit, market and operational risk, model risk, independent liquidity risk, and insurance throughout the firm .
Market Risk Management & Analysis The Market Risk Management & Analysis department measures, monitors and analyzes the market risk of the firm globally. We play a key role in the risk/reward decision making process and measure the losses that the firm would experience under a variety of normal and extreme market conditions, across asset classes and business units globally. The department has approximately 350 professionals with representation in New York, London, Bengaluru, Tokyo, Hong Kong, Singapore, Irving and Seoul.
The MRMA department is made up of the following groups:
MRMA Governance: The group is responsible for managing the department's operational risk, model risk, and regulatory risk.
Makes our operating risks transparent through a suite of standards, processes, and tools which embed governance and quality assurance in process design throughout the data lifecycle
Manages and conducts independent assessments and testing of process and control design
Manages regulatory assessments and interactions
Market Risk & Capital Quantification (MRCQ): The group is the authoritative source of the firm's market risk and market risk capital measures used by the firm's various risk management (e.g. Firmwide Committees; Senior management) and regulatory bodies. To that effect, this group performs a number of functions, including the design, development and maintenance of:
its own - independent - market risk measurement models;
the calculation component of our state of the art technological platform; and
the data models and analytics it requires to ensure the accuracy and performance of its measures (e.g. Anomaly detection; data governance etc.);
The group is also responsible for the calculation of all relevant market risk and market risk capital measures using the above; and for ensuring that there is appropriate governance around its function and for evidencing that the controls it operates are effective.
Market Risk & Capital Analysis (MRCA): The group is responsible for monitoring, analyzing, and communicating market risk and market risk capital for internal risk management, supervisory and regulatory purposes. The group uses financial, quantitative and analytical expertise to ensure that the risk taken is consistent with the firm's risk appetite. Its functions include:
Monitor market movements and conduct what-if analyses for risk and capital purposes;
Review, analyze and communicate VaR, stressed VaR, single and multi-asset stress tests, risk sensitivities and capital measures; and
Oversee and operate the firm's market risk limit framework and ensure relevant risks are effectively communicated to stakeholders;
Risk Architecture (RA): The group is responsible for governing the design and implementation of market risk and market risk capital measures, including model performance, backtesting and industry advocacy. Its functions include:
Perform backtesting and review model performance;
Review new firmwide market risk and capital measures / treatments and changes to existing measures / treatments;
Review new activities and their implications on risk/capital treatments/methodologies;
Monitor risk and capital methodology / treatment observations; and
Industry advocacy on risk and capital related regulations
RESPONSIBILITIES AND QUALIFICATIONS
MRMA Governance MRMA Governance is a newly established governance function within MRMA. It is responsible for
Managing the department's operating risks including compliance and regulatory risk, operational risk, and model risk;
Designing, operating, and reporting on all aspects of its governance framework, including development of governance templates, standards, guidelines, and tracking of key performance indicators,
Designing, operating, and reporting on all aspects of its internal control and self-assessment framework, including a process verification framework that measures and monitors process and control design effectiveness;
Managing regulatory interactions, and set piece communication with internal and external parties;
Maintaining inventories and assessments of models, measures, and policy/regulatory obligations; and
Providing risk oversight of MRCQ and reporting to senior management, increasing transparency of risks and influencing decision making and prioritization
The department works closely with all areas within MRMA and various groups across the firm including Controllers, Securities Division, Internal Audit, Technology, and the broader Risk organization.
Prepare legal entity market risk reporting and analytics to senior management and governing bodies
Monitor risk exposures and associated tolerance levels
Support execution of regulatory deliverables, reporting, exams, and overall engagement
Facilitate regulatory interpretation and ensure compliance with related regulations
Maintain regulatory self-assessments and track associated gaps; implementation or remediation plans, including reviewing, interpreting, and providing guidance on the impact of pending requirements. Participate in regulatory working groups.
Provide thought leadership to develop and institutionalize governance processes and enhance controls
Liaise across relevant business, technology, and control functions to prioritize risks, challenge decisions, assumptions and tolerances, and drive appropriate risk response
Communicate and escalate significant risks to management
Drive a culture of risk management and mitigation. Deliver training on governance responsibilities
Monitor internal and external business activities and regulatory environment to identify new or emerging risks
Work closely with Governance teams in other regions to establish a framework for reporting regulatory risk
Skills / Expertise
Degree in a quantitative field such as engineering, mathematics, physics, or statistics a plus
Interest in financial markets and risk management, motivated by learning and continuous improvement
Quantitative risk management, market risk, operational risk, regulatory risk reporting, audit or compliance role a plus
Programming skills and experience with an object oriented programming language such as Java or C++
Ability to work independently, form own judgment/opinions, provide insights and drive change
Proactive with strong analytical, organizational, and influencing skills
Keen to learn new information, adopt new skills and with the ability to identify and make improvements to systems and processes.
Strong interpersonal, written and verbal communications skills.
Concern for accuracy, with good attention to detail.
ABOUT GOLDMAN SACHS The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.