Quantitative Engineer - Eqs Structured Products Strats

Location(s) US-NY-New York
Job ID
2021-79694
Schedule Type
Full Time
Function(s)
Quantitative Engineer
Region
Americas
Division
Engineering
Business Unit
Equity Derivatives Product Strats
Employment Type
Employee

MORE ABOUT THIS JOB

SECURITIES
Our core value is building strong relationships with our institutional clients, which include corporations, financial service providers, and fund managers. We help them buy and sell financial products on exchanges around the world, raise funding, and manage risk. This is a dynamic, entrepreneurial team with a passion for the markets, with individuals who thrive in fast-paced, changing environments and are energized by a bustling trading floor.

 

YOUR IMPACT As a senior member of the Structured Products Strats team, you will be responsible for implementing the infrastructure for Structured Notes pricing, developing Request for Quote (RFQ) and Stream pricing systems, designing APIs that connect to different internal and external systems, and designing the framework necessary to shock market data to price appropriately for bid/offers and model reserves. We are looking for a candidate with strong computer science and technical background to build and enhance our OTC Derivatives trading platform.

 

OUR IMPACT

THE SECURITIES DIVISION

Our core value is building strong relationships with our institutional clients, which include corporations, financial service providers, and fund managers. We help them buy and sell financial products on exchanges around the world, raise funding, and manage risk. This is a dynamic, entrepreneurial team with a passion for the markets, with individuals who thrive in fast-paced, changing environments and are energized by a bustling trading floor.

 

TEAM DESCRIPTION Equities Structured Products Strats are responsible for the design and implementation of quantitative tools and models to price and risk manage equity derivatives, structured notes, corporate derivatives and hybrid products. The team covers quant modeling, tradable implementation, pricing and risk infrastructure, working closely with trading and sales to develop the firm's derivatives business.

 

HOW YOU WILL FULFILL YOUR POTENTIAL You will constantly interface with trading, sales and quant teams in developing the pricing platform and looking for new business opportunities. The ideal candidate will have 3+ years of experience designing and implementing large systems, be versed on wide range of languages and versatile to learn new ones. While we look for a hands on engineer to work on implementation, you will lead a team of ~3 engineers to develop this critical platform for our derivatives business.

RESPONSIBILITIES AND QUALIFICATIONS

Strats on the Equities Structured Products desk work on modeling and risk management of structured equity derivatives including barrier, basket, hybrids, variance options, and structured notes. They also work on modeling adjustments such as Credit Valuation Adjustments( CVA ) and Funding Valuation Adjustment( FVA ) methodologies. The work is across a myriad of projects such as:

 

  • Developing new pricing models to capture appropriate dynamics for pricing and risk management. The models are based on stochastic calculus and probabilistic methods, and require understanding and intuition of risk factors involved.
  • Enhancing existing payoffs and models to represent new dynamics and optimize for speed and efficiency
  • Writing risk management infrastructure which helps represent complex payoffs into fundamental Greeks. This requires a strong background in computer science.
  • Designing and building systems to automate trade workflow
  • Ensuring compliance with appropriate regulatory policies governing payoffs, modeling and risk management

 

Desk strats work very closely counterparts in Trading and Sales roles in Global Markets and experience at the desk offers a unique opportunity to work on financial modeling, risk management and investment products at the intersection of quant finance and computer science fields.

 

The Equitiess Structured Product Strats seek individuals with a strong academic background in a relevant field (Computer Science, Engineering, Physics, Mathematics, Quantitative Finance), as well as strong programming background.

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., 2021. All rights reserved.
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity