• Associate, SEC4521068

    Location(s) US-NY-New York
    Job ID
    2019-58482
    Schedule Type
    Full Time
    Level
    Associate
    Function(s)
    Quant/Strats
    Region
    Americas
    Division
    Securities
    Business Unit
    FICC Desk Strats
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    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.)

    RESPONSIBILITIES AND QUALIFICATIONS

    Duties: Associate with Goldman Sachs & Co. LLC in New York, NY. Build essential trading software for pricing and risk managing interest rate products. Execute pricing and electronic trading integration for swaps and off-the-run treasury business, including back-testing and development of real-time pricing models using Bayesian methodologies. Perform model improvements to the front-end interest rate swap curve construction. Perform modeling and infrastructure development for total return swaps (TRS) based on treasury and inflation indices. Engage in infrastructure projects, such as migrating derivatives pricing to web-based Boltweb pricing and risk engines. Conduct capital analytics and modeling.

     

    Job Requirements: Master’s degree (U.S. or foreign equivalent) in Quantitative Finance, Financial Engineering, or a related field. Three (3) years of experience in the job offered or related position. Prior work experience must include three (3) years with: building essential trading software for pricing and risk managing interest rate products using strong mathematical modeling skills and computer programming skills; performing modeling and infrastructure development for funding mechanisms, e.g. total return swaps (TRS) and bespoke credit support annexes (CSAs); developing optimal hedging and pricing strategies; and engaging in infrastructure projects, such as migrating pricing of derivatives and FVA to strategic platform pricing/risk engines. Prior work experience must include two (2) years with: executing pricing and electronic trading integration for interest rate derivatives business, including back-testing and development of real-time pricing models using Bayesian methodologies; performing model improvements to interest rate curve construction and pricing of funding value adjustment (FVA); and conducting capital analytics and modeling, including Comprehensive Capital Analysis and Review (CCAR) calculations and modeling, balance sheet optimization, and notional compression and initial margin optimization for interest rate swaps, and over the counter (OTC) derivatives.

    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