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. 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.
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