Quantitative Analyst

3 dni temu


Warszawa, Mazovia, Polska Goldman Sachs Pełny etat

At Goldman Sachs, our Corporate Treasury (CT) Engineering team leverages a unique blend of computer science, finance, and mathematics to develop innovative solutions for our shareholders. The CT department plays a critical role in ensuring all businesses have the necessary funding, while optimizing liquidity and managing risk. Our Interest Rate Risk (IRR) and Analytics Strats team within CT focuses on creating quantitative models for Asset Liability Management to optimize interest rate income and expense.

Key Responsibilities:
  • Develop comprehensive quantitative models for interest rate risk, encompassing economic and earnings perspectives, liquidity & currency risks.
  • Optimize interest rate income by designing balance sheet analytics and hedging strategies across various market environments.
  • Foster business understanding through data analysis and workflow development to support engineering solutions implementation.
  • Collaborate with other departments to leverage financial resources effectively and drive commercial priorities forward.
Qualifications and Requirements:
  • Pursue an advanced degree in a quantitative field such as Engineering, Mathematics, or Physics; or Bachelors with relevant work experience.
  • Demonstrate strong analytical, mathematical, and programming skills.
  • Expertise in Python programming, with experience in software development and data structures.
  • Showcase expertise in quantitative analysis, including mathematics, physics, statistics, stochastic calculus, scientific computing, econometrics, machine learning algorithms, and financial modeling.
  • Experience working with financial markets and assets, with a preference for vanilla interest rate derivative pricing, bond, deposit pricing, curve construction, hedging strategies, and risk management.
  • Excellent communication skills, capable of presenting to both technical and business audiences.


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