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Quantitative ALM & Market Risk Modeler - Treasury Capital Markets

Lone Tree, Colorado; Westlake, Texas

Requisition ID 2024-98775 Category Risk & Regulatory Position type Regular Salary USD $87,800 - $195,200 / Year Application deadline 2024-05-31

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 totaling approximately $500 billion in balance sheet assets and approximately $100 billion in off-balance-sheet brokered deposit agreement notional investments primarily for the benefit of the Charles Schwab Corporation and its banking and broker-dealer subsidiaries. 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, strategic optimization of the balance sheet, and corresponding NIM profile through the development and execution of a robust market risk modeling framework in collaboration with business partners, including investment portfolio managers, risk partners, and product leaders across the firm. 

In this role, you will be responsible for modeling, analytics, attribution, and automation for all market risk management related to all on-balance-sheet 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 components of the balance sheet. This individual will work closely with the ALM Analytics team and ALM Strategy team to optimize our ALM and Market Risk positioning and support allocation decisions and strategy.

What you have

  • Three years relevant experience or combination of time in post graduate studies.
  • Degree in a quantitative field such as Applied Mathematics, Engineering, or Economics is required. CFA, FRM, or PRM designations a plus.
  • Strong quantitative skills in fixed income investment modeling and analytics
  • Strong knowledge of fixed income modeling in systems such as PolyPaths, BlackRock, Murex, Intex, Bloomberg, QRM, Calypso, etc. is highly preferred.
  • Expertise in balance sheet modeling, net interest revenue modeling, and/or EVE modeling
  • Direct experience in modeling derivatives and associated hedge accounting
  • Experience with Python and SQL or another general-purpose programming language is strongly preferred.
  • Experience working with an enterprise risk analytics system with automation features such as PolyPaths Enterprise is desired.
  • Knowledge of premium discount amortization and associated impact of principal prepayments on NII
  • Knowledge of securities accounting standards and implementation
  • Enthusiasm to work in white space and the ability to create innovative analyses to help drive the strategy and risk management of the balance sheet
  • Ability to multi-task while maintaining composure in a potentially fast-paced environment
  • Strong written and oral communication skills

What you'll do:

  • 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 Economic Value of Equity (EVE) sensitivity, Capital at Risk, Net Interest Income (NII) sensitivity, and other industry standard metrics.
  • Contribute to initiatives to enhance, streamline, and automate balance sheet analytics, NII forecast, and dynamic NII sensitivity measurement.
  • Play a key role in achieving risk-return optimization mandate within ALM subject to external/macro-economic factors as well as a strong market risk management framework.
  • Support ALM Strategy, ALM Analytics, 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 investment 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

Eligible Schwabbies receive

  • Medical, dental and vision benefits

  • 401(k) and employee stock purchase plans

  • Tuition reimbursement to keep developing your career

  • Paid parental leave and adoption/family building benefits

  • Sabbatical leave available after five years of employment