FICC Macro Strats – Quantitative Researcher

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Goldman Sachs USA
  • 23 Feb 19

FICC Macro Strats – Quantitative Researcher

MORE ABOUT THIS JOB MORE ABOUT THIS JOB

What We Do
Our team is responsible for the analytics, models for pricing and risk management of the US interest rate products trading business. We actively collaborate with traders on model development, risk analysis and pricing trades ranging from vanilla swaps to exotic options, and with colleagues in engineering on developing and enhancing core analytics infrastructure, with the goal of building a world class rates market making platform.

Your Impact
As a strategist who sits in the Securities Division, you will play an integral role on the trading floor. You may create cutting-edge derivative pricing models and empirical models to provide insight into market behavior, or develop automated trading algorithms for the firm and its clients. You might be involved in analyzing exposures and structuring transactions to meet client needs, or involved in designing and developing complex parallel computing architectures, electronic trading tools, and advanced algorithms. Throughout the Securities Division, strategists are using quantitative and technological techniques to solve complex business problems.

RESPONSIBILITIES AND QUALIFICATIONS Responsibilities
You will focus on the linear rates businesses which span interest rate swaps, fx forwards and swaps, government bonds and inflation linked products. Your responsibilities will include building and enhancing critical pricing, trading and risk tools, with a particular focus on automating & systematizing market making, researching systematic strategies embedded within a market making function leveraging proprietary franchise and market data.

Basic Qualifications

  • Undergraduate or higher degree with major in computer science, engineering, applied math, physics or similar.
  • 3 or more years of experience in a buy or sell side quant role, preferably in fixed income.
  • Strong programming experience in C/C++/Java or similar.
  • Proficient in applied probability, optimization, numerical analysis, algorithms, data structures.

Preferred Qualifications (if needed)
  • Experience in a sell side role within interest rate products, expertise in interest rate models and analytics such as yield curve construction, risk computation, some experience with volatility modeling desirable but not essential.
  • Experience with automating market making functions on a sell-side desk.
WHO WE ARE
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 .