Quantitative Risk & Capital Optimization Engineer

Goldman Sachs Bank AG; Hinoba-an; On-site; PHP 900,000 - 1,300,000; Full time

Job summary

Goldman Sachs Philippines seeks an Analyst or Associate to join the Resource Management Strats group within the Global Markets division. You will develop quantitative models for capital and liquidity optimization and counterparty credit risk across FICC, and apply calibration, backtesting, and stress tests as needed.

You will leverage strong programming skills (C/C++, Python, Java), a solid quantitative background, and a keen interest in financial markets to explain findings to business leaders

Qualifications

• Strong quantitative background with high academic achievement.
• Proficient programming in a structured language (C/C++, Python, Java).
• Interest in financial markets and products.

Responsibilities

• Create innovative models and calculators to optimize capital and liquidity and counterparty credit risk.
• Apply numerical optimization to minimize scarce resources in the firm.
• Develop a deep understanding of regulatory capital, methodology, and model implementation.
• Stay updated on regulatory changes and advances in quantitative finance and risk modeling.
• Interact with business leaders to explain findings and drive implementation.

Skills

Quantitative background

Programming in C/C++

Programming in Python

Programming in Java

Interest in financial markets

Education

Bachelor's degree in quantitative field

Job description

Goldman Sachs Philippines seeks an Analyst or Associate to join the Resource Management Strats group within the Global Markets division. You will develop quantitative models for capital and liquidity optimization and counterparty credit risk across FICC, and apply calibration, backtesting, and stress tests as needed.

You will leverage strong programming skills (C/C++, Python, Java), a solid quantitative background, and a keen interest in financial markets to explain findings to business leaders