Senior Manager – Quantitative ALM and Market Risk Modeler

Your opportunity

At Schwab, you’re empowered to make an impact on your career. Here, innovative thought meets creative problem solving, helping us “challenge the status quo” and transform the finance industry together.

The Treasury Capital Markets (TCM) function within Corporate Treasury manages fixed-income investments in several portfolios for the benefit of the Charles Schwab Corporation and its banking and broker-dealer subsidiaries on a balance sheet with approximately $450 billion in assets and approximately $90 billion in off-balance-sheet brokered deposit agreement notional investments. The Asset Liability Management (ALM) team within TCM is responsible for balance sheet management strategy, portfolio and brokered deposit notional investment allocation decisions, balance sheet modeling and analytics, market risk management, ALM derivatives, and net interest revenue forecasting.

As an individual contributor within the ALM team focused on Market Risk Modeling, you will play a key role in the overall interest rate risk management and strategic optimization of the balance sheet through development and execution of a robust market risk modeling framework. You will collaborate with the ALM Analytics and ALM strategy teams, investment portfolio managers, risk partners, and product leaders and others across the firm and play a key role in achieving the risk-return optimization mandate.

What you have

Required Qualifications

Five years relevant experience or combination of time in post graduate studies

Degree in a quantitative field such as Applied Mathematics, (Financial) Engineering, or Economics

Expertise in balance sheet modeling, net interest income modeling, and economic value of equity sensitivity modeling

Strong quantitative skills in fixed income investment modeling and risk analytics

Direct experience in modeling derivatives and associated hedge accounting

Strong knowledge of and hands-on experience in a fixed income and balance sheet modeling system such as PolyPaths, QRM, etc.

Knowledge of securities accounting standards and implementation

Practical knowledge of a modern technology stack including object-oriented programming (OOP), databases, and cloud platforms

Experience in building automation workflows and data pipelines with Python/C/C#/SQL/etc. in a highly regulated environment

Strong written and oral communication skills

Highly motivated self-starter

Ability to multi-task while maintaining composure in a fast-paced environment

Preferred Qualifications

CFA, FRM, or PRM designations are a plus.

An advanced degree is preferred.

Strong knowledge of and hands-on experience in the PolyPaths system (AppPort/BatchCal/ALM/Enterprise) is highly preferred.

Enthusiasm to work in white space and the ability to create innovative solutions to help drive the strategy and risk management of the balance sheet

What youll do:

In this role, you will be responsible for modeling, attribution analysis, and back-testing for all market risk management related to on- and off-balance sheet exposures, including fixed income investment portfolios, off-balance-sheet brokered deposit notional investments, interest rate derivatives, and income modeling associated with all remaining interest rate sensitive balances, with a focus on net interest income and economic value of equity sensitivities and key underlying assumptions. In addition, you will be responsible for developing, enhancing, and maintaining workflows and data pipelines to support automation of model execution and back-testing.

This is a role where you will be able to grow your expertise through consistent challenges with the backing of passionate leaders who will value your contributions and prioritize your development. You will work closely with the ALM Analytics and ALM Strategy teams to optimize our ALM and Market Risk positioning and support allocation decisions and strategies.

Perform front-office modeling, analytics, and optimization focusing on Market Risk Management with expert knowledge of fixed-income, derivatives, and balance sheet modeling.

Develop a robust Market Risk Management modeling framework focusing on net interest income (NII) sensitivity, economic value of equity (EVE) sensitivity, and key underlying modeling assumptions.

Contribute to initiatives to enhance, streamline, and automate balance sheet modeling and analytics, NII forecasting and back-testing, and measurement of dynamic NII sensitivity and EVE sensitivity.

Play a key role in achieving the risk-return optimization mandate within ALM subject to external/macro-economic factors as well as a strong market risk management framework.

Support ALM Analytics, ALM Strategy, and Investments teams via new and existing capabilities, tools, reports, attributions, and optimizations to inform the optimal positioning of the investment portfolio through rate cycles, with a significant emphasis on risk management.

Collaborate with key business partners to drive balance sheet analytics to support balance sheet allocation decisions, strategy, and risk management.

Leverage industry investment research and stay abreast of peer and industry trends.

In addition to the salary range, this position is also eligible for bonus or incentive opportunities

What’s in it for you

At Schwab, we’re committed to empowering our employees’ personal and professional success. Our purpose-driven, supportive culture, and focus on your development means you’ll get the tools you need to make a positive difference in the finance industry. Our Hybrid Work and Flexibility approach balances our ongoing commitment to workplace flexibility, serving our clients, and our strong belief in the value of being together in person on a regular basis.

We offer a competitive benefits package that takes care of the whole you – both today and in the future:

401(k) with company match and Employee stock purchase plan

Paid time for vacation, volunteering, and 28-day sabbatical after every 5 years of service for eligible positions

Paid parental leave and family building benefits

Tuition reimbursement

Health, dental, and vision insurance

CO Salary Range: USD $101,000 – $224,400 / Year

What’s in it for you:

At Schwab, we’re committed to empowering our employees’ personal and professional success. Our purpose-driven, supportive culture, and focus on your development means you’ll get the tools you need to make a positive difference in the finance industry. Our Hybrid Work and Flexibility approach balances our ongoing commitment to workplace flexibility, serving our clients, and our strong belief in the value of being together in person on a regular basis.

We offer a competitive benefits package that takes care of the whole you – both today and in the future:

401(k) with company match and Employee stock purchase plan

Paid time for vacation, volunteering, and 28-day sabbatical after every 5 years of service for eligible positions

Paid parental leave and family building benefits

Tuition reimbursement

Health, dental, and vision insurance

Schwab is an affirmative action employer, focused on employing and advancing in employment, qualified women, racial and ethnic minorities, protected veterans, and individuals with disabilities in the workplace. If you have a disability and require reasonable accommodations in the application process, contact Human Resources at applicantaccessibility@schwab.com or call 800-275-1281.