Job Description:

Vice President - RISK5247409

Location(s)

US-NY-New York

MORE ABOUT THIS JOB

Vice President with Goldman Sachs & Co. LLC in New York, NY

RESPONSIBILITIES AND QUALIFICATIONS

Duties: Vice President with Goldman Sachs & Co. LLC in New York, NY. Vice President position in Credit Risk Modeling. Independently analyze and interpret consumer-level data provided by a Credit Bureau such as Trans-Union, Experian or Equifax by leveraging expertise with trade-level metrics (e.g. Credit Cards, Mortgages, Personal Loans, Student Loans, etc.), history of delinquencies, past inquiries, past collections, history of balances, and credit limits. Analyze and interpret large trade-level datasets available internally, including Acquisition/Marketing, Credit Policy metrics disclosed at booking time, full history of the trade involving payments, balances and accrued interest, post-default collection payments, etc. Lead discussions with main stakeholders, including Model Validation, Audit, Model Users, and Data Providers stakeholders. Build delinquency roll-rate models, Age-Period-Cohort models, Binary Classifiers and Markov-chain models and write corresponding model documentation. Code in Python or C++, R and SQL in a production environment. This requires expertise with DevOps lifecycle tools such as GitLab and tools to handle large datasets such as Hadoop, Spark, Databricks and Snowflake. Developing dashboards with data-intensive content (Tableaux, Jupyter Notebooks). Write model documentation.

Job Requirements: Master's degree (U.S. or foreign equivalent) in Statistics, Quantitative Finance, Computer Science, Mathematics or a related field. Minimum three (3) years of experience in the job offered or in a related role. Must have 3 years of experience with developing and maintaining code in a production environment, including experience designing and maintaining program tests, documenting different code components including libraries, functions and APIs, and designing robust code dependencies. Must have 3 years of experience with: Querying and analyzing relational databases using SQL, pandas in Python or similar, including experience joining multiple tables, sorting tables based on values of particular columns, performing groupings and filters, and building derived features from primary data values; building, testing, monitoring and maintaining linear regression models, including experience with variable selection techniques (such as forward selection, backward elimination, t-tests, or information criteria.), analysis of residuals (such as serial correlation tests, normality tests, Breusch-Pagan test, or Q-Q plot analysis), handling of small datasets (such as using regularization techniques such as Lasso and Ridge, or Bayesian methods) and model testing (such as F-tests, Likelihood Ratio tests, Cross-Validation, or estimation of mean squared error); handling large data sets of up to few Terabytes of size; and using econometric time series techniques to model the effect of the macro-economic risk factors on dependent variables that measure consumer behavior. Demonstrable experience with at least one of the following datasets is required: unemployment, GDP, disposable income or industrial production indices. Demonstrable experience with at least one of the following techniques is required: linear regression models, ARMA models, Kalman filters or VAR models.

ABOUT GOLDMAN SACHS

ABOUT GOLDMAN SACHS

At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.

We believe who you are makes you better at what you do. We're committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally, from our training and development opportunities and firmwide networks to benefits, wellness and personal finance offerings and mindfulness programs. Learn more about our culture, benefits, and people atGS.com/careers.

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