Welcome page Returning Candidate? Log in Senior Quantitative ALM and Market Risk Modeler - Treasury Capital Markets Job Locations US-CO-Lone Tree | US-TX-Westlake | US-NY-New York | US-IL-Chicago Requisition ID 2024-98774 Posted Date 6 months ago(4/11/2024 4:16 PM) Category Risk & Regulatory Salary Range USD $101000.00 - $224400.00 / Year Application deadline 10/3/2024 Position Type Full time 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

Required:

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

Preferred:

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 EnterpriseEnthusiasm to work in white space and the ability to create innovative analyses to help drive the strategy and risk management of the balance sheetAbility 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. 

 

 

 

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