Quantitative Engineer - Corporate Treasury Strats - Finance Engineering
What We Do
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.
Who We Look For
Goldman Sachs Engineers are innovators and problem-solvers, building solutions in risk management, big data, mobile and more. We look for creative collaborators who evolve, adapt to change and thrive in a fast-paced global environment.
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
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.
- Participate in the firm's liquidity risk and interest rate risk analysis, stress testing, cash & collateral management, and asset liability management
- Use machine learning techniques and statistical modeling to develop pricing analytics and behavioral models for retail deposits
- Optimize the firm's liability stack by developing balance sheet analytics and hedging strategies
- Work with treasury, desk strategists, and technology departments to define and implement liquidity models, including accountability for modeling methodologies, code base, and infrastructure
- Analyze model output and facilitate understanding of model results by non-technical partners
Corporate Treasury Strats welcomes applicants with Master's degree in financial engineering (or a related degree), with a PhD in 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.
- Solid background in computer programming, Python, C++, Java, Matlab or equivalent language, preferentially in large scale financial or technical computations
- Good knowledge of handling large datasets and experience developing statistical models
- Familiarity with financial markets, financial assets, and asset pricing
- Excellent verbal and written communication skills
Goldman Sachs, an equal opportunity employer, does not discriminate in employment on any basis that is prohibited by federal, state or local laws.
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.
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