• CRTR4481031 - Associate

    Location(s) US-NY-New York
    Job ID
    2019-58406
    Schedule Type
    Full Time
    Level
    Associate
    Function(s)
    Engineering
    Region
    Americas
    Division
    Engineering
    Business Unit
    Corporate Treasury Engineering
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    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.)

    RESPONSIBILITIES AND QUALIFICATIONS

    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.

    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 at GS.com/careers.

    We’re committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more: https://www.goldmansachs.com/careers/footer/disability-statement.html



    © The Goldman Sachs Group, Inc., 2020. All rights reserved.
    Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity