Market Risk Strat
A modelling role in the central engineering function that builds the firm's market risk and capital models, such as value-at-risk and stress tests. You prototype, implement and test models and explain results to risk managers.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Identify risk factors for products and build models that capture them
- Prototype and implement value-at-risk and stress test models
- Design tests that check the models keep working in production
- Run pricing, risk and capital impact analyses
- Explain model outputs to risk managers and senior stakeholders
What they ask for
Required
- Maths, modelling and numerical techniques
- Statistics, time series and econometrics
- Probability theory
- Programming in Java, C++ or Python
- Pricing or risk model development
- Education
- PhD in a quantitative discipline, or Bachelor's/Master's with 1 to 3 years of relevant work
- Experience
- 1 to 3 years of relevant work for Bachelor's/Master's holders; none stated for PhDs
- Languages and tools
- Markets
- multi-asset
How to prepare
- Build historical and Monte Carlo value-at-risk for a small multi-asset book and backtest it
- Study stress testing and how scenarios are designed
- Learn regulatory capital ideas such as expected shortfall
- Practise unit testing for numerical models
What to study
- Quantitative Risk Management
- Probability, Statistics and Financial Data
- Econometrics and Financial Time Series
- Python for Quantitative Finance
The Risk Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on Goldman Sachs’s site before applying: requirements, location and pay can change after we check them.
View the posting on Goldman Sachs’s site ↗
SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Goldman Sachs and doesn’t handle applications.