• Fixed Income Macro Strat - FICC

    Location(s) US-NY-New York
    Job ID
    2019-55660
    Schedule Type
    Full Time
    Level
    Associate, Vice President/Executive Director
    Function(s)
    General
    Region
    Americas
    Division
    Securities
    Business Unit
    FICC Desk Strats
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    What We Do

    Our team is responsible for the analytics, pricing models and risk management of the US interest rate products trading business. We work in active collaboration with the trading desk on model development, quantitative risk management strategies, automated quoting methodologies and pricing trades of varying complexities ranging from vanilla swaps to exotic options, and with colleagues in engineering on developing and enhancing core analytics methodologies and infrastructure, with the shared goal of building a world class rates market making platform.

     

    Your Impact

    As a strategist in the Securities Division, you will play an integral role on the trading floor. You will build cutting-edge derivative pricing models and empirical models to provide insight into market behavior, develop quantitative risk management strategies and automated quoting and trading methodologies for the firm and its clients, be involved in analyzing exposures and structuring transactions to meet client needs, and work closely with platform teams designing and developing complex parallel computing architectures, electronic trading tools, and advanced algorithms. Engineering forms a core pillar of the divisional and the firmwide strategy at Goldman Sachs, and you, as a desk strategist, will have a unique position to leverage quantitative expertise and technological innovations to solve complex and challenging problems for the trading desk.

    RESPONSIBILITIES AND QUALIFICATIONS

    Responsibilities

    You will primarily focus on the non-linear rates businesses which span interest rate derivatives of varying complexity ranging from vanilla options to callable exotics. Your responsibilities will include building, maintaining and enhancing pricing models, quantitative risk management and quoting methodologies, and tools used by the trading desk for complex risk analyses, with a continued focus on systematizing market making, leveraging proprietary franchise and market data. 

     

    Basic Qualifications

    • Undergraduate or higher degree with major in computer science, engineering, applied math, physics or similar.
    • 3 or more years of experience in a buy or sell side quant role, preferably in fixed income.
    • Strong programming experience in C/C++/Java or similar.
    • Proficient in stochastic calculus, applied probability, optimization, numerical analysis, algorithms, data structures.

     

    Preferred Qualifications

    • Experience as a front office desk quant within interest rate products, expertise in interest rate models such as volatility surface, skew and term structure models
    • Experience implementing pricing models and/or risk analytics in a production setting, preferably implemented in a high performing language such as C/C++/Java

    WHO WE ARE

    At Goldman Sachs, our Engineers don’t just make things – we make things possible.  Change the world by connecting people and capital with ideas.  Solve the most challenging and pressing engineering problems for our clients.  Join our engineering teams that build massively scalable software and systems, architect low latency infrastructure solutions, proactively guard against cyber threats, and leverage machine learning alongside financial engineering to continuously turn data into action.  Create new businesses, transform finance, and explore a world of opportunity at the speed of markets.

    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.

    © The Goldman Sachs Group, Inc., 2019. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.