• Corporate Treasury Strats - Quantitative Engineer

    Location(s) UK-London
    Job ID
    2018-49089
    Schedule Type
    Full Time
    Level
    Associate
    Function(s)
    Engineering
    Region
    EMEA
    Division
    Engineering
    Business Unit
    Finance & Risk Engineering
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    Application Opening Date: 09 November 2018
    Application Closing Date:
    07 December 2018
    Location:
    London
    Salary:
    Competitive

    Level: Associate

     

    YOUR IMPACT

     

    At Goldman Sachs, our Engineers don’t just make things – we make things possible.  Change the world by connecting people and capital with ideas.  Solve the most challenging and pressing engineering problems for our clients.  Join our engineering teams that build massively scalable software and systems, architect low latency infrastructure solutions, proactively guard against cyber threats, and leverage machine learning alongside financial engineering to continuously turn data into action.  Create new businesses, transform finance, and explore a world of opportunity at the speed of markets.

     

    Engineering, which is comprised of our Technology Division and global strategists groups, is at the critical centre of our business, and our dynamic environment requires innovative strategic thinking and immediate, real solutions.  Want to push the limit of digital possibilities?  Start here.

     

    OUR IMPACT


    The Strats group within Goldman Sachs is a world leader in developing quantitative techniques and technological solutions that solve complex and commercial business problems. The Corporate Treasury Strats group sits within the Financial Engineering function of Goldman Sachs, which spans engineering teams across Liquidity, Capital, Controller and Risk functions and specifically works within the Corporate Treasury Group.


    Corporate Treasury works closely with the CFO, Treasurer and other members of senior management to manage the firm’s liquidity risk, secured and unsecured funding programs, and the level and composition of consolidated and subsidiary equity capital. The department plays a key role in firmwide strategic and analytical projects, providing a unique insight into the firm’s business activities and performance.

     

    Our primary objectives are to:
    - Maintain an appropriate level of excess liquidity to protect against market-wide or Goldman Sachs-specific stresses and to meet intraday liquidity requirements
    - Determine cost efficient funding strategies for assets considering interest rate risk and asset tenors
    - Raise funding (and deposits) across diverse markets, investors, and products to support the firm’s strategic growth; and,
    - Hold adequate capital to protect against risk of loss and to meet regulatory requirements

    RESPONSIBILITIES AND QUALIFICATIONS

    HOW YOU WILL FULFIL YOUR POTENTIAL


    Corporate Treasury Strats use their engineering and/or scientific background to identify and measure risk and to implement quantitative and technical risk management solutions in software. Successful strats are highly analytical, driven to own commercial outcomes, and communicate with precision and clarity.


    Responsibilities include:


    - Participating in the firm’s liquidity risk and interest rate risk analysis, stress testing, cash & collateral management, and asset liability management
    - Using machine learning techniques and statistical modelling to develop pricing analytics and behavioural models for retail deposits
    - Optimising the firm’s liability stack by developing balance sheet analytics and hedging strategies
    - Working  with treasury, desk strategists, and technology departments to define and implement liquidity models, including accountability for modelling methodologies, code base, and infrastructure
    - Analysing model output and facilitate understanding of model results by non-technical partners

     

    SKIILLS AND EXPERIENCES WE ARE LOOKING FOR


    - Strong academic record with Master’s degree or PhD level in Statistics, Physics or a related quantitative discipline required

    - Significant commercial/professional experience required

    - Experience of programming in Python required

    - Strong experience with mathematical/financial/statistical modelling required

    - Knowledge of futures, options and other derivative products required

    - Familiarity with machine learning and mathematical processes such as binomial methods, Monte Carlo method, partial differential equations required

    - Familiarity with asset/derivative/options pricing required

    - Must have strong data analysis skills and good knowledge of handling large datasets

    - Familiarity with tools such as Mathematica, NumPy and LaTeX required

    - Proficiency in MS office suite required

    - Experience in conducting research and reporting required

    - Familiarity with Unix/Linux, Windows and Mac environments required

    - Must be a collaborative team player

    - Excellent communication skills required 

    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.

    © The Goldman Sachs Group, Inc., 2018. All rights reserved Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.