Associate with Goldman Sachs & Co. LLC in New York, NY.
Work Schedule: 40 hours per week (9:00 a.m. to 6:00 p.m.)
Duties: Associate with Goldman Sachs & Co. LLC in New York, NY. Apply various methodologies to develop investment models using exotic options linked to equities, bonds, commodities, and other asset classes which would require him, amongst other things, to: conduct analysis based on academic research, market structure, and statistical methods to identify attractive investment opportunities; use a GS internal back tester to run various simulations on proposed investment products; price the options using GS internal programming languages (which is similar to Python); use a GS internal pricing tool to determine risks of the transaction, such as the delta, vega, and gamma of the options at current market levels and in different market shock scenarios; and write/review methodology documentation which describes the terms of the exotic options. Write/review methodology documentation which describes the terms of the exotic options; write the term sheets describing the exotic options. Work closely with several teams including: legal and compliance to make sure that all the relevant risk disclosures are described accurately; trading and trading strategists to make sure that the methodology will be implemented and tradeable; and market data team and IP legal to make sure that GS has all the licensing required to implement such an exotic option. Analyze client’s portfolio to assess impact of proposed investments to the portfolios risk and return characteristics. This would require him, amongst other things, to: run a multivariate regression analysis on the client’s portfolio versus several factors to assess which investment products might best complement the client’s portfolio and run a z-score analysis to assess the sensitivity of the client’s portfolio versus different market benchmarks; run an efficient frontier analysis to assess the impact on volatility and returns when combining the investment products to the client’s portfolio; and write programs to automated the tasks above so that they may be performed in an accurate and efficient manner. Market GS investment products to clients in the U.S., Canada, and Latin American regions: work with the clients to understand their needs and how GS could potentially help them with their problems, presenting the GS investment platform by explaining product details and associated risks in both English or Spanish (clients are in the US, Mexico, Chile, and Colombia); and prepare educational material, which will describe complex investment principles in a user friendly language and allow investors to assess risks and rewards associated with the proposed investment, adapting communication to the degree of sophistication of the investor.
Job Requirements: Master’s degree (U.S. or foreign equivalent) in Applied Mathematics, Statistics, Financial Engineering, or a related field. Four (4) years of experience in the job offered or in a related position. Prior work experience must include four (4) years: developing pricing models for exotic derivatives using knowledge of stochastic calculus and ability to apply it to using stochastic volatility and interest rate models; applying understanding of how to price options using jump local stochastic volatility models; applying understanding of market structure and hedging dynamics of multiple assets (beyond classical academic theory); coding and automating routine analytical tasks and pricing; testing pay outs, market to market of exotic investment products on a historical basis; generating marketing material, transaction documents, and supporting analysis for clients; and explaining products and associated risks to clients in simplified, fair, and balanced language. Prior work experience must include two (2) years: pricing derivatives under different collateral and discount rate assumptions based on bespoke legal contracts and collateral agreements underlying these investment products; solving optimization problems using statistical analysis and linear algebra; analyzing client’s portfolio to assess impact of proposed investments to the portfolios risk and return characteristics; running a multivariate regression analysis on the client’s portfolio versus several factors to assess which investment products might best complement the client’s portfolio; running a z-score analysis to assess the sensitivity of the client’s portfolio versus different market benchmarks; running an efficient frontier analysis to assess the impact on volatility and returns when combining the investment products to the client’s portfolio; and writing programs to automate multivariate regression analysis, z-score analysis, and frontier analysis so that they may be performed in an accurate and efficient manner. Travel Required typically ten percent to twenty five percent (10% - 25%) of the time to meet with clients, both domestically and internationally.
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