Credit Exotics Desk Strat – Analyst / Associate
A desk strat role supporting the credit exotics, macro credit and total return swap desks, alongside the investment grade, high yield and distressed desks. You build the models and libraries that price and risk-manage credit derivatives.
What you’d work on
Our reading of the posting: what a new hire in this role would most likely spend their first months on.
- Maintain pricing and risk models for CDS, index tranches, credit-linked notes and total return swaps
- Calibrate hazard-rate, correlation and volatility models to market data
- Extend scalable pricing libraries covering trade booking, end-of-day risk and P&L explain
- Support model validation work on the credit derivatives book
- Help traders and structurers price client solutions quickly
What they ask for
Required
- Master's or PhD in a quantitative field
- Object-oriented programming experience
- Strong quantitative problem solving
- Clear written and spoken communication
- Comfort working to tight deadlines
- Ability to explain model assumptions
- Education
- Master's or PhD in applied mathematics, physics, engineering or computer science
- Experience
- Analyst or associate level; financial industry experience only required at VP level
- Markets
- credit, fixed-income
How to prepare
- Build a hazard-rate CDS pricer and bootstrap a survival curve from spreads
- Study index tranche pricing and the Gaussian copula and its weaknesses
- Learn how total return swaps and credit-linked notes are structured and risked
- Write a small pricing library with tests, in an object-oriented language
What to study
- Fixed Income and Interest-Rate Models
- Advanced Derivatives and Exotic Options
- Counterparty Credit Risk and CVA
- Derivatives Pricing and Computational Finance
- Python for Quantitative Finance
The Derivatives Pricing Quant roadmap sets out the stages for this kind of role, with free resources for each.
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Read the full posting on Goldman Sachs’s site before applying: requirements, location and pay can change after we check them.
View the posting on Goldman Sachs’s site ↗
SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Goldman Sachs and doesn’t handle applications.