Quantitative Modeling and Linear Optimization in Liquidity Management

Goldman Sachs’ An Evening with Goldman Sachs Engineering series connects local technology communities with the firm’s engineers to share the latest trends across the tech industry as well as the culture in which our engineers work.

Liquidity Management | Interest Rate Risk | Quantitative Modeling | Linear Optimization | Real-time system | Java

You will learn:

• Details of the liquidity crisis that led to the recent collapse of a high profile US bank
• How interest rates impact the banking book
• How linear optimization is used to manage intraday cash liquidity requirements at scale

Corporate Treasury lies at the heart of Goldman Sachs, ensuring that all parts of the firm have the funding needed to conduct business, while optimizing liquidity and managing risk. The Corporate Treasury Engineering team will discuss the liquidity crisis that led to the collapse of a high profile US bank in 2023. We’ll look at the decisions and events that contributed to the crisis and discuss the important role that risk management controls play in preventing crises such as this one from occurring.

The banking book is comprised of all the firm's positions which are intended to be held until expiry or maturity. Common products include mortgages, swaps, bonds, and deposits. Their value to the bank is closely related to the interest income they generate over their lifetimes, which in some case can be quite long. As interest rates change over time, this exposes the bank to significant interest rate risk, and managing this risk has become an important and rapidly-growing field, especially over the last decade. We plan to provide an overview of some of the main types of interest rate risk and how they are managed using industry-standard IRRBB metrics such as NII and EVE, and the importance of incorporating client behaviour into the modelling strategy.

Intraday cash management systems are responsible for Funding and Execution for thousands of internal accounts. Supporting millions of daily cash and security internal movements, each accounts needs to be funded efficiently in real time under various different constraints. Learn how new Java based cash management platform provides this capability in just 2 seconds leveraging event-driven linear optimization engine!
If you’re interested in learning more about Engineering at Goldman Sachs you can meet our teams, read our insights and view our open Engineering opportunities by visiting our Engineering Careers page.

Agenda:
18:00 – 19:00 Tech Talks
19:00 – 20:30 Networking drinks & pizza

Speakers:

Minh Anh Vu is a quantitative analyst in the Interest Rate Analytics group of the Corporate Treasury. Minh holds a master’s degree in financial engineering and completes the CFA and FRM programs. Minh has been working in different positions within the banking industry. He spent the past couple of years working as model developers in IRRBB space.
David Abarca is a quantitative analyst in the Interest Rate Analytics group of the Corporate Treasury. David joined Goldman Sachs from ING Hubs Poland where he worked on the validation of a wide variety of IRRBB models. Before making his way into finance, he was heavily involved in the world of astrophysics, holding a bachelor’s degree from Havard University and a PhD from the Nicolaus Copernicus Astronomical Centre. In his spare time, David enjoys making music and spending time with his friends, wife, and dog.
Marcin Budny is a software engineer in Cash&Collateral team within Corporate Treasury.
He joined Goldman Sachs in 2020 and was responsible for developing various liquidity management systems.
He holds bachelor degree from Wroclaw University of Science and master degree from Wroclaw University of Economy.