FICC, Mortgage Strats

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Goldman Sachs USA
  • 25 Mar 19

FICC, Mortgage Strats

Goldman Sachs' Strats business unit is a world leader in developing quantitative and technological techniques to solve complex business problems. Working within the firm's trading, sales, banking and investment management divisions, strats use their mathematical and scientific training to create financial products, advise clients on transactions, measure risk, and identify market opportunities.

Your Impact
Securities Strats play important roles in several areas. Strats aligned with trading desks are responsible for pricing and risk models to provide insight into market behavior of securities, loans, derivatives and other complex financial instruments. Strats develop mathematical model and implement analytics that assist in monitoring, analyzing and managing risk by desk traders as well as senior management. Strats are also responsible for development and maintenance of infrastructure for pricing and risk management of trade and investment positions.


  • Development of pricing models related to mortgage backed securities, loans, and derivatives
  • Development and calibration of statistical credit and prepayment models for measuring default, prepayment and severity of mortgage and asset backed securities and loans.
  • Development and support of analytical tools and infrastructure to help trading desk with daily trading activities, valuation and risk management
  • Analyze data and develop surveillance reports to monitor collateral and deal performance
  • Help trading desk analyze trading ideas, hedging strategies, and ROE optimization
Basic Qualifications:
  • Academic background in any of relevant field - Statistics, Computer Science, Math, Financial Engineering
  • 2-6 years of Front Office Agency MBS desk quant experience
  • Meaningful experience coding in an Object oriented programming language such as C, C++
  • Comfortable working with Database/Statistical software such as R, SQL
  • Collaborative teamwork skills and ability to communicate to both technical and non-technical audiences verbally and in writing

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 center 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.

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.

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