Manager, ALM, Market Risk Modeling

Charles Schwab Inc.•Westlake, TX

About The Position

The Asset Liability Management (ALM) & Market Risk Modeling team within the Corporate Treasury develops and maintains models used for financial planning and market risk management across Schwab’s approximately $500 billion balance sheet, as well as more than $70 billion of off-balance-sheet notional investments and more than $130 billion notional of derivatives. As an individual contributor, you will play a key role in balance sheet strategy and interest rate risk management. You will help optimize the balance sheet and net interest margin profile by developing, enhancing, and operating a robust ALM modeling framework in close partnership with investment portfolio managers, risk partners, and product leaders across the firm. In this role, you will support the team’s ownership of key models, including the ALM model and the Economic Value of Equity (EVE) sensitivity model. Your responsibilities will span the full model lifecycle—development, enhancement, implementation, testing, sensitivity analysis, performance monitoring, backtesting, benchmarking, documentation, and issue remediation—as well as production of business-as-usual (BAU) net interest income (NII) forecast and interest rate risk measurements. The modeling work may involve all aspects from investment allocation to liquidity planning, to capital management, to interest rate risk hedging and hedge accounting. You will also contribute to the team’s automation framework to streamline our production workflow.

Requirements

Bachelor’s degree in a quantitative field (e.g., Applied Mathematics, Engineering, Finance, Economics, Statistics, or a related discipline)
Three years of relevant professional experience (or a combination of professional experience and graduate studies) in ALM, treasury, fixed income, market risk, or quantitative analytics
Strong quantitative skills in financial modeling and analytics, particularly related to fixed income products (e.g., mortgage-backed securities)
Hands-on experience with ALM and/or interest rate risk concepts (e.g., NII and EVE sensitivities, hedging strategies, fund transfer pricing, etc.)
Experience in building automation workflows and data pipelines with Python/ SQL/etc. in a highly regulated environment
Strong written and oral communication skills
Highly motivated self-starter
Comfort working in ambiguity (“white space”) with the ability to independently identify opportunities and create innovative solutions that support balance sheet strategy and risk management

Nice To Haves

An advanced degree is preferred.
CFA, FRM, etc. designations are a plus.
Strong knowledge of and hands-on experience in the PolyPaths system (AppPort/BatchCal/ALM/Enterprise) or QRM is highly preferred.
Direct experience in dynamic balance sheet simulation or forecasting
Direct experience in modeling derivatives and associated hedge accounting
Direct experience with liquidity and capital management or how they are implemented in financial planning forecast

Responsibilities

Perform front-office modeling, analytics, and optimization with a focus on interest rate risk management and expert knowledge of fixed-income, derivatives, and balance sheet modeling.
Develop and enhance the ALM model that supports BAU NII forecast and NII sensitivity measurement, the EVE sensitivity model, and key underlying modeling assumptions.
Support production processes for financial planning, net interest income forecasting, and market risk measurement.
Contribute to initiatives to enhance, streamline, and automate balance sheet modeling, sensitivity analysis, and backtesting.
Partner with Model Risk Oversight to maintain model documentation, support validations, and comply with model risk management standards.
Collaborate with key partners to deliver balance sheet analytics that inform investment, liquidity, and capital strategies as well as risk management.
Leverage industry research and remain current on peer practices, vendor capabilities, and regulatory/industry trends relevant to ALM and market risk.