Job Information
Charles Schwab Senior Manager -ALM, Market Risk Modeling in Lone Tree, Colorado
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 deploying vendor models and developing in-house quantitative models to support interest rate risk management within ALM team. This includes prepayment models, new volume pricing models as well as yield curve models. This role is critical to maintaining current automation framework written in Python as well as improving and adding new features to it. Additionally, this role is a key collaborator with ALM analytics and other modeling team to achieve balance sheet management goals.
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
Required:
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.
Expertise in general fixed-income security modeling and analytics
Expertise in using vendor prepayment modeling for MBS and consumer loans
Experience in developing in-house prepayment models for MBS and consumer loans
Strong background with yield curve modeling, including stochastic interest rate models as well as volatility models
Practical knowledge with modern technology stack including OOP, database, cloud platforms
Experience in building automation pipelines with Python/C++/C#/SQL
Preferred:
Experience with interest rate risk management systems such as PolyPaths, Intex, Bloomberg, QRM, Calypso
Experience with Interest rate risk in the banking book, including NII and EVE simulations
CFA, FRM or PRM designations a plus
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.