Economist - Finance - Credit Risk

Goldman Sachs
New York - United States
S: Competitive

The Credit Risk Management and Advisory Dept at Goldman Sachs is seeking an economist to join its Credit Risk Analytics Group (CRAG). CRAG is responsible for developing quantitative risk management models for the measurement of counterparty credit risk. CRAG is also responsible for developing and implementing credit risk capital calculations, regulatory policy, margin calculations, and scenario analysis. The economist would be responsible for constructing a 3-year forecast for macroeconomic and financial variables for major regions of the world as well as 3-year macroeconomic scenarios that would represent different stressed macroeconomic environments. The economist would also build econometric models for stress testing and other risk management applications.

Candidates should have Ph.D in economics or finance and substantial experience analysing and forecasting the macroeconomies of major countries, with an emphasis on forecasting financial variables. Ideally, the candidate should also have practical experience in times series econometrics as well as programming experience in a programming language such as c++, java, matlab, or python. Since the role will require the presentation and documentation of the developed forecasts and scenarios to an interdisciplinary audience, strong presentation and writing skills are important attributes for successful candidates.

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