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About the Role
The Asset Liability Management (ALM) & Market Risk Modeling team within Corporate Treasury develops and maintains models used for financial planning and market risk management. As a Director in this team, you will play a key role in interest rate risk management and the strategic optimization of the firm’s balance sheet, owning modeling related to various financial instruments and forecasts.
Responsibilities
- Administer the PolyPaths system, overseeing profile management and system configuration.
- Design, implement, and support batch processing within PolyPaths Enterprise.
- Maintain comprehensive technical documentation for the PolyPaths system and manage system upgrades.
- Model both linear and non-linear hedge instruments and relationships using the PolyPaths platform.
- Manage vendor prepayment models to ensure accuracy and compliance.
- Develop and maintain models for asset-backed securities.
- Develop and maintain the model for forecasting accumulated other comprehensive income in capital stress testing.
- Lead production activities and control processes for capital stress testing.
- Enhance workflow automation and implement data quality controls supporting forecasting and market risk operations.
- Collaborate with Model Risk Oversight teams to maintain model documentation, facilitate validation efforts, and adhere to model risk management standards.
- Utilize industry research to remain informed about peer practices, vendor solutions, and regulatory developments relevant to ALM and market risk.
Requirements
- 5+ years of direct people leadership/management experience.
- 8+ years of experience in a publicly traded complex financial services corporate environment with a strong track record of developing, automating and documenting models.
- 8+ years of relevant experience in balance sheet and market risk modeling.
- 8+ years of experience leveraging PolyPaths, QRM, or other ALM software for financial planning, market risk, and/or capital stress test forecasts.
- Direct experience administering and extending PolyPaths, QRM, or other ALM software (e.g., configuration settings, batch utilities, custom integrations/APIs) and supporting enterprise production runs.
- Strong understanding of fixed income products and interest rate derivatives used for hedging (e.g., swaps, swaptions, futures, options, caps/floors) as well as risk measures.
- Strong understanding of hedge accounting for fair value and cash flow hedges.
- Expertise with prepayment models for mortgage-backed securities (MBS) and consumer loans.
- Experience in modeling MBS, whole loans, or mortgage servicing rights.
- Experience in asset-backed securities modeling.
- Experience implementing and validating optionality-adjusted measures for instruments with embedded options.
- Familiarity with model risk management practices (model documentation, validation support, controls testing) and regulatory expectations for model governance.
- Experience with cloud services and distributed compute for large-scale analytics (e.g., grid/batch compute), and performance tuning.
- Strong leadership, strategic vision, and management skills.
- Creative thinker with strong problem-solving skills and the ability to stay calm under challenging circumstances.
- Passion for service, professionalism, positivity, a strong work ethic with a high level of integrity, attention to detail, and teamwork.
- Facilitate a team-based approach to subject matter management and knowledge sharing, and comfort with a flexible, agile environment emphasizing collaboration and team performance over management hierarchy.
- Strong interpersonal, communication and presentation skills; excellent ability to communicate information effectively internally to drive cross-functional alignment and action.
- A successful track record of driving priorities, accountability, and delivering results.
Skills
- PolyPaths
- QRM
- ALM software
- Fixed income products
- Interest rate derivatives
- Hedge accounting
- Prepayment models
- Mortgage-backed securities (MBS) modeling
- Asset-backed securities modeling
- Optionality-adjusted measures
- Model risk management
- Cloud services
- Distributed compute
- Performance tuning
- Leadership
- Strategic vision
- Problem-solving
- Interpersonal skills
- Communication skills
- Presentation skills
Location
- Remote
Work Type
- Full-time
Experience Level
- Director
- 5+ years of direct people leadership/management experience
- 8+ years of experience in a publicly traded complex financial services corporate environment
- 8+ years of relevant experience in balance sheet and market risk modeling
- 8+ years of experience leveraging PolyPaths, QRM, or other ALM software
Education Level
- Degree in quantitative fields such as Applied Mathematics, Financial Engineering, Engineering, Economics, or related discipline
About the Company
- 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.