Quantitative Engineer

7 days ago


Bengaluru, Karnataka, India Goldman Sachs Full time
Transaction Banking and Other - Bengaluru - Associate Quantitative Engineer

At Goldman Sachs, our Engineers don't just make things – we make things possible. We're committed to fostering and advancing diversity and inclusion in our own workplace and beyond by ensuring every individual within our firm has a number of opportunities to grow professionally and personally.

About the Role

We're seeking a highly skilled and motivated Associate Quantitative Engineer to join our Transaction Banking team in Bengaluru. As a key member of our global quant team, you will be responsible for all modeling aspects of TxB, including portfolio management, pricing, risk monitoring, funding optimizations, fraud detection, as well as innovative analytics & reporting across products in TxB.

Responsibilities
  1. Build pricing models for liquidity and other banking products under various market conditions
  2. Perform historical data analysis to accurately model client behaviors, including liquidity outflows and funding optimizations
  3. Design proper portfolio management and hedging strategies against various different market risk, including IR and FX risk
  4. Build advanced end-to-end machine learning models for fraud detection including data pipeline, feature engineering and full model implementation
  5. Develop scalable production quality code to implement and deploy to production environment
  6. Accurately document the modeling assumptions and methodologies, and work with Model Risk team through model validations
  7. Build internal analytics/ dashboards for monitoring portfolio risk and providing insights to leadership team
  8. Interact closely with product/finance/risk teams to ensure smooth cross-team collaborations
Requirements
  • BS/MS or PhD in a quantitative field – Mathematics, Statistics, Mathematical Finance/Financial Engineering, other Engineering
  • 3+ Years of experience in Mathematical Finance domain
  • Quantitative background including an understanding of probability and statistics
  • Strong programming background in compiled or scripting languages (Python, R, Java, etc.)
  • Ability to explain complex models and analysis to diverse audience
Preferred Qualifications
  • Knowledge of Tradable/SecDB/Slang is a strong plus
  • Experience in other transaction banking/corporate deposit modeling/treasury function as a quant is preferred
  • Interest rate/liquidity risk modeling or other similar financial modeling experience is a plus
  • Familiarity with object-oriented coding languages and production quality code development
About Goldman Sachs

At Goldman Sachs, we commit our people, capital and ideas to help our clients, shareholders and the communities we serve to grow. Founded in 1869, we are a leading global investment banking, securities and investment management firm. Headquartered in New York, we maintain offices around the world.



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