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. Develop and continuously improve independent price verification models used in fair value financial reporting under US GAAP for exotic interest rate products, including: mid-curve swaption, constant-maturity-swap binary option and Bermudan swaption. Ensure that models are serving purpose of independently controlling to ensure fair valuation of the firm’s inventory. Be responsible for model design, implementation, evidencing model correctness by testing model assumptions, model documentation, model review with internal model risk management team, and explaining the results and associated impacts to financial statements to controllers. Conduct data analytics and provide automation solutions for accounting workflows based on business needs.
Job Requirements: Master’s degree (U.S. or foreign equivalent) in a quantitative field such as mathematics, physics, statistics or engineering. Two (2) years of experience in the job offered or a related financial quantitative role. Prior experience must include: Applying understanding of financial products, including performing quantitative analysis in relation to products; Programming languages, such as C++/Java/Python; Applying knowledge of statistics and data science, such as regression/random forest; Utilizing and understanding US GAAP accounting of financial products and financial statements preparation process for a global investment bank; and Accounting workflow automation.
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