Quantitative Engineer: ALM & Liquidity Modeling

Goldman Sachs; Greater London; On-site; GBP 90,000 - 150,000; Full time

Job summary

Goldman Sachs in London seeks a quantitative analyst to join Corporate Treasury. You will design and implement ALM models, forecast net interest income, and support liquidity and funding decisions with rigorous risk analysis.

You will develop stress tests, backtesting, and behavioural models for deposits and channels, while presenting findings to senior management and cross-functional partners in a global team.

Qualifications

• Masters or PhD in a quantitative field (math, physics, econ, CS) preferred.
• Strong programming skills in Python, C++, or Java.
• Proven experience in a quantitative finance role focusing on ALM or balance sheet management.
• Excellent written, verbal, and collaborative communication skills.

Responsibilities

• Design, implement, and maintain ALM models and tools for NIM forecasting and EaR.
• Develop stress-testing frameworks across portfolios to assess performance under market scenarios.
• Build behavioural models for deposits and channels under rate scenarios.
• Establish backtesting and data quality processes to monitor model performance.

Skills

Python

C++

Java

Quantitative finance

Communication skills

Independent work

Education

Masters preferred

PhD preferred

Tools

AI tools

Job description

Goldman Sachs in London seeks a quantitative analyst to join Corporate Treasury. You will design and implement ALM models, forecast net interest income, and support liquidity and funding decisions with rigorous risk analysis.

You will develop stress tests, backtesting, and behavioural models for deposits and channels, while presenting findings to senior management and cross-functional partners in a global team.