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Senior Quantitative ALM and Market Risk Modeler - Treasury Capital Markets

Lone Tree, Colorado; Westlake, Texas

Requisition ID 2024-98774 Category Risk & Regulatory Position type Regular Salary USD $101,000 - $224,400 / 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 Asset Liability Management (ALM) team is a team within our Corporate Treasury department.  We are 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.  The overall team 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. 

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 through the development and execution of a robust market risk modeling framework.  You’ll collaborate with investment portfolio managers, risk partners, and product leaders and others across the firm and play a key role in achieving risk-return optimization mandate.

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 collaborate with others to optimize our ALM and Market Risk positioning and support allocation decisions and strategy.

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.

What you have


  • Five years relevant experience or combination of time in post graduate studies
  • Degree in a quantitative field such as Applied Mathematics, Engineering, or Economics is desired. CFA, FRM or PRM designations a plus
  • Expertise in balance sheet modeling, net interest revenue modeling, and EVE modeling
  • Strong fixed-income investment modeling and analytics knowledge
  • Direct experience modeling derivatives and associated hedge accounting
  • Experience with fixed income modeling in systems such as PolyPaths, BlackRock, Murex, Intex, Bloomberg, QRM, Calypso
  • Knowledge of premium discount amortization and associated impact of principal prepayments on Net Investment Income (NII)
  • Knowledge of securities accounting standards and implementation


  • 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
  • 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 fast-paced environment.
  • Excellent written and oral communication skills

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