Quantitative Engineer - FICCS IRP Flow Strats
MORE ABOUT THIS JOB What We Do
Our team is responsible for the analytics, curve and market models, pricing models, and risk management of all flow products - interest rate swaps, futures, Treasuries, repo, total return swaps, and FX forwards - within the US interest rate products trading business. We work in active collaboration with the trading desk on model development, quantitative risk management strategies, automated quoting methodologies and pricing trades, and with colleagues in engineering on developing and enhancing core analytics methodologies and infrastructure, with the shared goal of building a world class rates market making platform. Your Impact
As a strategist in the Global Markets Division, you will play an integral role on the trading floor. You will build cutting-edge derivative pricing models and empirical models to provide insight into market behavior, develop quantitative risk management strategies and automated quoting and trading methodologies for the firm, be involved in analyzing exposures and structuring transactions to meet client needs, and work closely with platform teams designing and developing complex parallel computing architectures, electronic trading tools, and advanced algorithms. As a front office desk strategist, you will have a unique position to leverage quantitative expertise and technological innovations to solve complex and challenging problems for the trading desk and global markets franchise. RESPONSIBILITIES AND QUALIFICATIONS Responsibilities
You will primarily focus on dollar interest rate swaps. Your responsibilities will include:
- Researching, building, maintaining and enhancing models for the real-time swap curve using statistical, numerical, and analytical methods
- Developing and maintaining the infrastructure for swaps and securities market-making, both voice and electronic
- Design tools for risk management and trading strategies, with a focus on systematic market making, leveraging proprietary franchise and market data
- Undergraduate or higher degree with major in computer science, engineering, applied math, physics or similar.
- 2 or more years of experience in a quantitative role, preferably with products knowledge, models and/or SecDB graph
- Strong programming experience in C/C++/Java/Python or similar.
ABOUT GOLDMAN SACHS
- Proficiency in advanced calculus and linear algebra, applied probability, optimization, numerical analysis, algorithms, data structures
- Experience as a front office desk quant within interest rate products, expertise in interest rate curve modeling
- Experience implementing pricing models and/or risk analytics in a production setting
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