Interest Rate Modeling Specialist

5 dni temu


Warszawa, Mazovia, Polska Goldman Sachs Bank AG Pełny etat

Welcome to Goldman Sachs, where we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Our Corporate Treasury (CT) Engineering team lies at the heart of the firm, ensuring all businesses have the appropriate level of funding to conduct their activities, while also optimizing the firm's liquidity and managing its risk.

The Interest Rate Risk (IRR) and Analytics Strats team within CT is responsible for developing quantitative models for Asset Liability Management to optimize, analyze and manage the Firm's interest rate income generated from our assets and interest rate expense incurred on our liabilities. As part of the team you will be involved in capital markets and banking initiatives, new business activities and firmwide strategic programs.

We are seeking a skilled Quantitative Engineer to join our IRR and Analytics Strats team within CT. The successful candidate will be responsible for developing quantitative models for interest rate risk, from both economic and earnings perspectives, liquidity & currency risks.

Key Responsibilities:

  1. Model Development: Develop and implement quantitative models for interest rate risk management;
  2. Strategy Optimization: Optimize the firm's interest rate income by developing balance sheet analytics and hedging strategies under various market environments;
  3. Process Improvement: Understand business needs, data requirements and specifications; facilitate and develop process workflow required to support implementation of engineering solutions;
  4. Analysis and Communication: Perform quantitative analysis and facilitate business understanding of technical results;
  5. Collaboration: Work with other Strats and technology departments to optimally leverage financial resources to achieve commercial priorities;


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