Associate with Goldman Sachs Bank USA in New York, NY.
Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)
Duties: Associate with Goldman Sachs Bank USA in New York, NY. Perform quantitative modeling and software development for the Firm’s Corporate Treasury processes. Develop asset funding requirement models for products with behaviorally driven tenorization. Develop software in an enterprise-scale environment. Develop retail deposit models. Utilize knowledge of regulatory stress test requirements to develop funds transfer pricing projections under stress scenarios. Apply understanding of derivative margin practices and models to properly attribute margin to business activity drivers. Apply understanding of the liquidity requirements associated with deposit products in multiple jurisdictions. Collaborate and negotiate with the businesses that consume or source funding. Leverage knowledge of the CCAR process to execute pricing analysis. Develop automatic monitoring processes that evaluate key risk metrics, portfolio evolution and attribution analyses to propose structural risk management strategies. Manage a team of four (4) Strategists.
Job Requirements: Master’s degree (U.S. or foreign equivalent) in Financial Engineering or a related field. Two (2) years of experience in the job offered or related position. Prior work experience must include two (2) years with: Software development, including analyzing data structures, algorithms, software design and core programming concepts; Programming in Python or other scripting languages; Utilizing SQL queries to efficiently query and manipulate large database tables where reference information and computational output such as credit exposures are stored; Using relational databases such as Sybase ASE, Sybase IQ or DB2; Working across the entire Software Development Lifecycle (SDLC) of product development, including requirements gathering, functional and technical design, development, user acceptance testing, release procedures, change request analysis, and production support; and Communicating complex financial and mathematical concepts to non-technical audiences. Prior work experience must include (1) year with: Developing Earnings-at-Risk analytics to capture the bank interest rate risk by projecting Net-Interest Income ( “NII” ) under various interest rate paths and balance sheet scenarios; Developing Net Interest Income projection models for asset liability management planning; Creating liquidity and interest rate risk models for bank deposits, and creating analytical tools to price bank deposits and compare to other sources of funding available to a bank; Performing statistical analysis to determine appropriate levels of liquidity in a bank; Financial engineering, including derivative pricing, probability, stochastic processes, and producing Monte Carlo based Value-at-Risk and stress test models; Utilizing mathematical, statistical and optimization methods including calculus, Monte Carlo simulation, linear and non-linear regression, probability theory, root-finding, likelihood estimation, and principle component analysis; and Interacting with bank regulators to explain complex mathematical modeling used for risk assessment.
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