Vice President - SEC121918JLFICC
Posted on Jan 21, 2019 by Goldman Sachs
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.
- Serve on the Repo Strat team, responsible for migrating the repo business to the Firm's primary front office platform and developing electronic market making solutions for multiple repo products. Implement trading models and software that allow the repo business to operate in new internal front office platform.
- Design structuring and desk electronic quoting software in Firm's new internal platform for structuring and quoting. Implement analytical tools to help sales and trading analyze client demand, market flows and hedging strategies. Work across many parts of the Firm, interfacing with Sales, Trading and Technology teams on a daily basis.
- Design automated pricing algorithms to facilitate repo market making activities. Design, implement and maintain risk management algorithms. Perform quantitative analysis on large amounts of pricing, volume and transaction data.
- Educate the sales force on any updates and relevant analysis done on our new trading platform.
- Run scenario analysis, risk analytics, stress testing analysis required for regulatory calculations. Document pricing models and risk analytics.
- Ph.D degree or Master's degree (U.S. or foreign equivalent) in Mathematical Finance, Computer Science, an Engineering specialty, or a related field. Two and one-half (2.5) years of experience (if Ph.D.) or four and one-half (4.5) years of experience (if Master's) in the job offered or in a related role. Must have two and one-half (2.5) years of experience (if Ph.D.) or four and one-half (4.5) years of experience (if Master's) with: programming in Java, C++, Python, Matlab, or Scala; training in financial mathematics including but not limited to stochastic calculus, jump processes, no-arbitrage pricing theory, partial differential equations, multivariable calculus, linear algebra, numerical methods, optimization, probability and random processes; building/designing financial instruments, including pricing models to be used in pricing and risk management systems; development, implementation, and maintenance of critical code libraries in an oriented object programming language; and building market-making tools and risk computation applications for financial products.