• Tech - Financial Engineering - GS Bank Strats - VP Deposit Modeler - VP - New York

    Location(s) US-NY-New York
    Job ID
    2017-8338
    Schedule Type
    Full Time
    Level
    Vice President/Executive Director
    Function(s)
    Technology
    Region
    Americas
    Division
    Engineering
    Business Unit
    Finance & Risk Engineering
    Employment Type
    Employee
  • MORE ABOUT THIS JOB

    TECHNOLOGY


    Our team of engineers builds solutions to the most complex problems. We develop cutting-edge systems and processes that form the core of our key business and enable transactions to move in milliseconds. We provide real-time access to critical deal information and crunch billions of data points each day to inform firm-wide market insights and strategies. Team members have the opportunity to work at the forefront of technology innovation alongside industry leaders and make significant contributions to the field.

    RESPONSIBILITIES AND QUALIFICATIONS

    OUR IMPACT

     

    In Finance Engineering, you'll find an exciting confluence of computer science, machine learning, finance and mathematics being used to solve for what our shareholders would like from us, a high return for the right risk taken. Our team of engineers builds solutions to the most complex problems.

     

    YOUR IMPACT

    The Strats group within Goldman Sachs is a world leader in developing quantitative and technological techniques to solve complex business problems.  The Bank Strats group sits within the Financial Engineering function of Goldman Sachs, which spans engineering teams across Liquidity, Capital, Controller and Risk functions and specifically works within the Bank Finance/Treasury Group.

    Bank Strats play an important role in the financial management and growth of the Bank.  We work closely with the CFO, Treasurer and other members of senior management in developing the Bank’s strategy and in the analysis and management of market, liquidity and funding risks in the Bank’s businesses. 

    Our primary objectives are to work with Bank Finance/Treasury to help:

    • Raise deposits across different product channels to support the Bank’s strategic growth
    • Maintain an appropriate level of excess liquidity to protect against market-wide or Bank specific stresses
    • Determine the appropriate funding strategy for assets based upon their liquidation profiles
    • Hold adequate capital to protect against risk of loss and to meet regulatory requirements

    RESPONSIBILITIES AND QUALIFICATIONS

    We are seeking a seasoned quantitative candidate to develop deposit liquidity and interest rate models at Goldman Sachs Bank USA.  The ideal candidate would have a background in machine learning and statistical modeling with hands on programming experience in an enterprise level programming language such as Python/C/C++

     

    The role requires good business knowledge and demonstrated ability to build models that have a sound mathematical backing and at the same time are intuitive and usable by the business.

     

    HOW YOU WILL FULFILL YOUR POTENTIAL

    • Use machine learning techniques and statistical modeling to develop pricing analytics and liquidity models for retail deposits including overnight deposits and term deposits
    • Use experience in building linear and non-linear models to develop analytics to drive the growth of the Bank’s deposit platform
    • Use engineering and/or scientific background to identify and measure risk  and to implement quantitative and technical risk management solutions in software
    • Work with treasury, desk strategists, and technology departments to define and implement liquidity models, including accountability for modeling methodologies, code base, and infrastructure
    • Analyze model output and facilitate understanding of model results by non-technical partners

      

    BASIC QUALIFICATIONS

    • Masters/Ph.D. in statistics, computer science, math, physics or engineering
    • Experience with machine learning and statistical modeling (generalized linear models)
    • Strong coding skills in C++ or Python. Knowledge of SecDB/Slang is a plus
    • Good SQL/database experience

     PREFERRED QUALIFICATIONS

    • Good knowledge of asset liability management (ALM) and liquidity considerations at Banks

    ABOUT GOLDMAN SACHS

    The Goldman Sachs Group, Inc. is 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. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.


    © The Goldman Sachs Group, Inc., 2017. All rights reserved
    Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet.

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