Quantitative Engineer - Mortgage Strats
- New York, NY
What We Do
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.
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
RESPONSIBILITIES AND QUALIFICATIONS
- 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
- Academic background in any of relevant field - Statistics, Computer Science, Math, Financial Engineering
3-8 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
ABOUT GOLDMAN SACHS
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., 2020. All rights reserved.
Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity
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