Quant jobs / Goldman Sachs

Quantitative Engineer – Interest Rate Risk in the Banking Book (ALM)

A strats role in Corporate Treasury's asset liability management team, modelling the bank's structural interest rate risk. It sits within Core Engineering.

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.

Build and maintain IRRBB models and interest rate risk frameworks
Create sensitivity and scenario analytics across portfolios
Improve interest rate risk methodology with stakeholders
Maintain model documentation and support validation and regulatory queries
Coordinate deliverables with the global strats team

What they ask for

Required

5+ years in the financial industry
Object-oriented or functional programming (C++, Java or Python)
Model building and large dataset analysis
Interest rate risk understanding
Quantitative analysis
Clear communication

Preferred

Fixed income knowledge
IRRBB framework knowledge
Team management experience

Education: Highly quantitative degree; Master's or PhD strongly preferred
Experience: 5+ years in capital markets, risk or treasury
Languages and tools: C++
Java
Python
Markets: fixed-income

How to prepare

Model net interest income and economic value sensitivity under parallel and non-parallel shocks
Study the regulatory IRRBB standardised framework
Build a deposit behaviour model with scenario analysis
Document a model as if for second-line validation

What to study

The Treasury and ALM Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

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.