The Core Engineering, FTP Strats, Associate, Quantitative Engineering

Goldman Sachs • New York, NY

8h

About The Position

The Core Engineering, FTP Strats, Associate, Quantitative Engineering role is within the Corporate Treasury department at Goldman Sachs. This department is responsible for ensuring businesses have adequate funding, optimizing liquidity, and managing risk. The Funds Transfer Pricing (FTP) Strats team specifically focuses on developing quantitative Asset Liability Management (ALM) models and frameworks for accurate pricing, incentivization, and execution of funding transfers. They work with various business units, Risk, and senior leadership to manage the balance sheet and enhance risk management. The team's primary objectives include aligning desk decision-making with firm-wide financial goals within risk and regulatory frameworks, efficiently executing funds transfers using internal instruments, managing deposit pricing models to quantify interest rate risks, and developing quantitative models for market risk transfer managed by the Treasury trading desk.

Requirements

• Advanced degrees (PhD or Masters) in a quantitative field such as Mathematics, Physics, Engineering, or Computer Science -- or bachelor’s with relevant work experience
• Strong analytical and problem-solving ability
• Python or similar programming language
• Excellent communication skills, including experience speaking to both technical and business audiences and working globally across multiple regions
• Self-motivated team player

Nice To Haves

• Familiarity with financial markets, financial products, and optimization is a plus

Responsibilities

• Design and implement quantitative frameworks and mathematical models to accurately price funding for Firm’s assets and liabilities
• Develop fixed-income tradable models for internal funding transfer and risk centralization as well as pricing models for deposits based to quantify deposits risk to markets sensitivities
• Understand business needs, data requirements and specifications; facilitate and develop process workflow required to support implementation of data engineering solutions
• Develop analytics and reporting to provide transparency on FTP and ALM
• Analyze model output and facilitate understanding of model results by non-technical clients
• Manage/Execute end-to-end systems development cycle from requirements analysis, coding, testing, UAT and post go live maintenance

What This Job Offers

• Job Type: Full-time
• Career Level: Entry Level