Risk Analytics/Modeling

Your Opportunity

Schwab remains committed to providing increased visibility to career growth opportunities and job requirements. This posting announcement is part of increased transparency and while all qualified applicants will be reviewed and considered, this organization has a preferred candidate identified for this role.

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.

We believe in the importance of in-office collaboration and fully intend for the selected candidate for this role to work on site in the specified location.

The Treasury Capital Markets (TCM) function within Corporate Treasury manages fixed-income investments in several portfolios for the benefit of the Charles Schwab Corporation and its banking and broker-dealer subsidiaries on a balance sheet with approximately $450 billion in assets and approximately $90 billion in off-balance-sheet brokered deposit agreement notional investments. 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 and strategic optimization of the balance sheet through development and execution of a robust market risk modeling framework. You will collaborate with the ALM Analytics and ALM strategy teams, investment portfolio managers, risk partners, and product leaders and others across the firm and play a key role in achieving the risk-return optimization mandate.

In this role, you will be responsible for owning and fine-tuning vendor models on mortgage prepayment, modeling lending products such as first mortgages and home equity lines of credit in the vendor modeling system, and/or developing in-house quantitative models on loan pricing, mortgage spreads, and/or prepayment of asset-backed securities (ABS), for business-as-usual and/or capital stress testing use. In addition, you will be responsible for developing, enhancing, and maintaining workflows and data pipelines to support automation of model execution and backtesting as well as attribution analysis.
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.

Key Outcomes
•    Own and fine-tune vendor prepayment models on agency residential and commercial MBS and non-agency whole loans, for business-as-usual use and capital stress testing use.
•    Contribute to initiatives to streamline and automate model execution and backtesting and attribution analysis.
•    Develop a framework for pricing whole loans.
•    Develop a framework for modeling and forecasting spreads for MBS, ABS, and other products with a focus on capital stress testing use.
•    Develop in-house quantitative models for ABS prepayment with a focus on capital stress testing use.
•    Play a key role in achieving the risk-return optimization mandate within ALM subject to external/macro-economic factors as well as a strong market risk management framework.
•    Support ALM Analytics, ALM Strategy, 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 balance sheet allocation decisions, strategy, and risk management.
•    Leverage industry investment research and stay abreast of peer and industry trends.

What you have

To ensure that we have fulfilled our promise of "challenging the status quo," this role has specific qualifications that successful candidates should have.

Required Qualifications

•    Five years relevant experience or combination of time in post graduate studies
•    Degree in a quantitative field such as Applied Mathematics, (Financial) Engineering, or Economics
•    Expertise in fixed income investment modeling and risk analytics
•    Expertise with vendor prepayment models for mortgage-backed securities (MBS) and consumer loans
•    Experience in modeling MBS, whole loans, or mortgage servicing rights
•    Practical knowledge of a modern technology stack including object-oriented programming (OOP), databases, and cloud platforms
•    Experience in building automation workflows and data pipelines with Python/C++/C#/SQL/etc. in a highly regulated environment
•    Hands-on experience in a fixed income modeling system such as PolyPaths, QRM, etc.
•    Strong written and oral communication skills
•    Highly motivated self-starter
•    Ability to multi-task while maintaining composure in a fast-paced environment

Preferred Qualifications

•    CFA, FRM, or PRM designations are a plus.
•    Expertise in pricing consumer loans, modeling mortgage spreads, modeling ABS prepayment
•    Expertise in modeling for capital stress testing (DFAST/CCAR)
•    Enthusiasm to work in white space and the ability to create innovative solutions to help drive the strategy and risk management of the balance sheet

In addition to the salary range, this role is also eligible for bonus or incentive opportunities