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Strats Deposit Modeler - Corporate Treasury Engineering - Finance Engineering
at Goldman Sachs
- Job ID
- Schedule Type
- Full Time
- Business Unit
- Corporate Treasury Engineering
- Employment Type
MORE ABOUT THIS JOB
The Corporate Treasury Strats team is looking for world class quantitative programmers to work closely with Corporate Treasury partners to employ quantitative analytics to drive optimizations of firm liquidity, cash and collateral management, funds transfer pricing and trade execution strategies. This is an integrated group which both explores new ideas for optimizing the funding management of the firm and also executes trading strategies, all in one team. Corporate Treasury lies at the heart of Goldman Sachs, ensuring that businesses have the appropriate level of funding to conduct their activities, while also optimizing the firm’s funding costs and managing liquidity risks. As part of the Corporate Treasury Engineering team you will be exposed to securities division and banking initiatives, to new business activities, and to critical strategic programs Goldman Sachs pursues to maintain its leadership among global financial institutions. Corporate Treasury Strats use their engineering and/or scientific background to implement quantitative analytics and management solutions in software. Corporate Treasury Engineering products guide funding souring decisions, allocation of financial resources, quantification of funding costs, and strategies to minimize costs and hedge risks. Successful strats are highly analytical, driven to own commercial outcomes, and communicate with precision and clarity.
Corporate Treasury Strats welcomes applicants with Master’s or a PhD in financial engineering/financial math; quantitative sciences, e.g. physics, statistics, applied math or other quantitative discipline; or relevant professional experience. Strong analytical skills, mathematical fluency, and programming abilities are required.
RESPONSIBILITIES AND QUALIFICATIONS
HOW YOU WILL FULFILL YOUR POTENTIAL
• Use machine learning techniques and statistical modeling to develop pricing analytics and liquidity models for retail deposits including overnight deposits and term deposits
• Use experience in building linear and non-linear models to develop analytics to drive the growth of the deposit platform
• Develop software and analytics to further Corporate Treasury’s firmwide mandates: liquidity risk and interest rate risk management and trade execution, cash & collateral management, funding optimization
• Optimize the firm’s liability stack by developing balance sheet analytics and hedging strategies
• Work with treasury, desk strategists, and technology departments to implement processes to optimally leverage financial resources to achieve commercial priorities
• Perform quantitative analysis and facilitate business understanding of technical results
SKILLS AND EXPERIENCE WE ARE LOOKING FOR
• Solid background in computer programming, Python, C++, Java, Matlab or equivalent language, preferably in large scale financial or technical computations
• Strong software design experience.
• Experience with statistical modeling (generalized linear models) and machine learning. Experience with deposit modeling is a plus
• Excellent communication skills, including experience speaking to technical and business audiences and working globally
• Can apply entrepreneurial approach and passion to problem solving and product development
• Familiarity with financial markets, financial assets, and asset pricing is a plus
ABOUT GOLDMAN SACHS
The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.
Â© The Goldman Sachs Group, Inc., 2019. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.