Job Duties: Associate with Goldman Sachs & Co. LLC in Dallas, Texas. Multiple Positions Available. Develop financial models to price legacy, non-qualified mortgage and prime jumbo whole loans using Microsoft Excel, collateral analysis system software, structured query language as well as analyze pricing on a portfolio of mortgage loans to help the desk with dynamic hedging strategies. Work with the trading desk on various stages of potential non-performing and re-performing residential loan bids (NPL/RPL), normalize and load loan level data into internal databases, analyze and stratify pools, determine appropriate modeling assumptions, run analytics, and produce bid packets. Use process automation (using Python and SQL) and portfolio management to provide thoughtful monthly quantitative analysis, on the key drivers of portfolio performance and recommend actionable strategies to asset managers and the trading desk. Produce detailed daily and monthly reports on P&L, returns, cashflows and collateral performance of the loan portfolio across multiple portfolios, using SQL, Python and MS Excel. Conduct a periodic model back-testing on the existing portfolio and recommend modeling assumptions adjustments to the trading desk. Collaborate across functions such as Data Management, Operations, Technology, and Modeling to ensure high data quality, accurate cash processing, and market representative modeling assumptions. Provide training to junior team members on pricing, bids, and general portfolio management.
Job Requirements: Bachelor’s degree (U.S. or foreign equivalent) in Economics, Finance, Quantitative Finance, Mathematics, Statistics or a related field, such as Risk Analytics. Three (3) years of experience in the job offered or in a related role in financial markets. Prior experience must include two (2) years in the following: using Structured Query Language (SQL) and Microsoft Excel to perform various quantitative analysis and data management, including accessing and analyzing large amounts (more than 200 columns and 100,000 rows) of data. Prior experience must include one (1) year in the following: automating daily tasks for efficiency and accuracy and setting up algorithms to review and reconcile daily hedging and mark to market using Python or R; setting up, executing and understanding discounted cash flow models to explain drivers of different mortgage valuation results and provide feedback to modelers to enhance certain predictability of the model using quantitative financial modelling and Fixed Income modelling skills; monitoring the interest rate risk exposures and calculating metrics, such as duration and dollar duration sensitivity, to ensure accurate hedging utilizing market risk analysis; utilizing advanced programming packages to perform machine learning and regression analysis to identify potential trading opportunities for a trading desk; utilizing various accounting frameworks to understand and analyze different drivers of the mortgage desk PnL (Profit and Loss) to provide recommendation for trading desk portfolio management process; and working with Collateral Analysis System Software to clean, analyze, and load data for mortgage pool bids and create stratifications for pool and loan characteristics.
©The Goldman Sachs Group, Inc., 2024. All rights reserved. Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity.
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