Corporate Treasury, Asset Liability Management Strats, Deposit Modeling and Risk Structuring, Associate

 

The Corporate Treasury, Asset Liability Management Strats team is engaged in modeling and optimizing the interest rate and liquidity risks of over $200B in the firm’s global balance sheet. We are looking for world class quants to enhance and interpret analytics that inform hedging decisions and incentivize optimal fund raising activity. By being a part of this engineering team, your work will impact the decisions of the CFO, Treasurer, and other members of senior management in connection with the most material concerns of the firm.

 

Job Duties

Enhance and interpret mathematical financial models.Communicate findings to non-engineers and senior management.Develop robust, production-grade model implementations that produce on-demand output for integration into the firm’s strategic risk management systems.Document and validate models in collaboration with governance teams.

 

Qualifications

2 + years experience in developing mathematical models including Time series, survival curves, and data processing using Python packages such as Pandas, Scikit Learn, and statsmodels.Techniques of optimization, statistical analysis, and parameter estimation.Illustration, interpretation, documentation and validation of models.Software development skills supporting a production code base and highly-available intraday processes.Strong communication skills

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.