Quantitative Strategist, Global Banking & Markets, FICC Mortgage Strats

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.

Your Impact

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 models 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

• 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.

Qualifications

• Academic background in any relevant field - Statistics, Computer Science, Math, Financial Engineering, etc.
• 1-3 years of prior front office desk quant experience is preferred.
• 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.