Quantitative Engineering

Goldman Sachs; Greater London; Hybrid; GBP 120,000 - 180,000; Full time

Job summary

Goldman Sachs in London is seeking a Desk Strat on the Credit Exotic Desk to design and build pricing and risk models for bonds and exotic credit derivatives. You will work with Credit Exotics, Macro Credit, and Credit Financing teams, partnering with trading desks to price and risk-manage client solutions across flow, structured, and funded credit.

The role requires strong quantitative abilities and sophisticated modelling skills, with emphasis on hazard-rate, correlation, and volatility

Qualifications

• Strong quantitative and technical problem solving skills.
• Meaningful experience in coding in an object oriented programming language.
• Excellent written and verbal communication skills.

Responsibilities

• Build and maintain pricing and risk models for credit derivatives and bonds, including single-name CDS, CDS indices, index tranches, CLNs, repacks and total return swaps on bonds, loans and indices.
• Develop and calibrate credit models, including hazard-rate, correlation, and volatility modelling.
• Work with sales, structuring and traders on strategies to navigate changing market and risk conditions and contribute to structured credit transactions.
• Develop robust, scalable pricing libraries and risk systems for derivatives, including trade booking, end-of-day risk, P&L explain and model validation support.

Skills

Quantitative skills

OO programming

Communication skills

Education

MS/PhD in quantitative field

Tools

Object oriented programming

Job description

Global Banking & Markets, Credit Exotic Desk Strats, Associate, London location_on London, Greater London, England, United Kingdom

MORE ABOUT THIS JOB

Your Impact

As a Desk Strat on the Credit desk, you will partner directly with the firm's Credit Exotics, Macro Credit, and Credit Financing (TRS) as well as IG/HY/Distressed trading desks. You will design and build pricing and risk models for bonds as well as exotic credit derivatives and total return swaps, develop scalable risk and scenario systems, and work with traders and sales to price and risk-manage client solutions across flow, structured and funded credit.

Our Impact

Quantitative strategists are at the cutting edge of our business, solving real-world problems through a variety of analytical methods. Working in close collaboration with traders and salespeople, their invaluable quantitative perspectives on complex financial and technical challenges power our business decisions.

RESPONSIBILITIES AND QUALIFICATIONS

Responsibilities

Build and maintain pricing and risk models for credit derivatives and bonds, including single-name CDS, CDS indices, index tranches, CLNs, repacks and total return swaps on bonds, loans and indices.

Develop and calibrate credit models, including hazard-rate, correlation, and volatility modelling.

Working directly with sales, structuring and traders on strategies to navigate rapidly changing market and risk conditions and contribute to structured credit transactions.

Develop robust, scalable pricing libraries and risk systems for derivatives, including trade booking, end-of-day risk, P&L explain and model validation support.

Who We Look For

An ideal candidate would have strong quantitative and technical problem solving skills, drive to investigate and learn new ideas, attention to detail and good judgement to deliver quick yet robust solutions.

Basic Qualifications

MS or PhD in a quantitative field - Applied Mathematics, Physics, Engineering, Computer Science.

Meaningful experience in coding in an object oriented programming language

Excellent written and verbal communication skills.

Ability to work in a dynamic and fast-paced environment and deliver accurate results quickly.

Ability to solve problems and to explain underlying ideal

For candidates entering at VP level relevant experience in the financial industry

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.

We believe who you are makes you better at what you do. 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, from our training and development opportunities and firmwide networks to benefits, wellness and personal finance offerings and mindfulness programs. Learn more about our culture, benefits, and people at GS.com/careers.

We’re committed to finding reasonable accommodations for candidates with special needs or disabilities during our recruiting process. Learn more: https://www.goldmansachs.com/careers/footer/disability-statement.html

Goldman Sachs is an equal opportunity employer and does not discriminate on the basis of race, color, religion, sex, national origin, age, veterans status, disability, or any other characteristic protected by applicable law.

Healthcare & Medical Insurance

We offer a wide range of health and welfare programs that vary depending on office location. These generally include medical, dental, short-term disability, long-term disability, life, accidental death, labor accident and business travel accident insurance.

We offer competitive vacation policies based on employee level and office location. We promote time off from work to recharge by providing generous vacation entitlements and a minimum of three weeks expected vacation usage each year.

Financial Wellness & Retirement

We assist employees in saving and planning for retirement, offer financial support for higher education, and provide a number of benefits to help employees prepare for the unexpected. We offer live financial education and content on a variety of topics to address the spectrum of employees’ priorities.

Health Services

We offer a medical advocacy service for employees and family members facing critical health situations, and counseling and referral services through the Employee Assistance Program (EAP). We provide Global Medical, Security and Travel Assistance and a Workplace Ergonomics Program. We also offer state-of-the-art on-site health centers in certain offices.

Fitness

To encourage employees to live a healthy and active lifestyle, some of our offices feature on-site fitness centers. For eligible employees we typically reimburse fees paid for a fitness club membership or activity (up to a pre-approved amount).

Child Care & Family Care

We offer on-site child care centers that provide full-time and emergency back-up care, as well as mother and baby rooms and homework rooms. In every office, we provide advice and counseling services, expectant parent resources and transitional programs for parents returning from parental leave. Adoption, surrogacy, egg donation and egg retrieval stipends are also available.

Benefits at Goldman Sachs

Read more about the full suite of class-leading benefits our firm has to offer.