Senior Manager ALM & Market Risk Modeling

Charles Schwab; Lone Tree (CO); On-site; USD 120,000 - 180,000; Full time

Job summary

Charles Schwab in Colorado is seeking a Manager, ALM & Market Risk Modeling to support fixed-income and mortgage modeling capabilities used for balance sheet forecasting, risk measurement, and capital planning.

The role requires applying analytical thinking to model performance, backtesting, and documentation, with collaboration across Treasury, Finance, Investments, Risk, and Model Risk Oversight in a hybrid on-site setting.

Qualifications

• Bachelor's degree in Applied Mathematics, Engineering, Finance, Economics, Statistics, Computer Science, or a related quantitative discipline
• 3+ years of relevant professional experience, or an equivalent combination of professional experience and graduate study, in banking, balance sheet management, asset liability management, market risk, or capital stress testing
• Experience using in-house or third-party prepayment models, including AD&Co or a comparable platform, to support balance sheet management, financial forecasting, or stress testing
• Knowledge of fixed-income modeling concepts, including duration, optionality, option-adjusted spreads, accumulated other comprehensive income, sensitivity analysis, and scenario-based risk analysis
• Knowledge of mortgage prepayment behavior, including refinance incentives, burnout, turnover, seasonality, and borrower credit characteristics
• Experience supporting model development and evaluation through feature selection, backtesting, performance monitoring, benchmarking, and model tuning
• Experience using Python, SQL, Microsoft Excel, or comparable analytical tools for data analysis, model monitoring, workflow automation, and controlled evidence retention
• Ability to apply analytical thinking, problem solving, and attention to detail when evaluating model results, identifying risks, and escalating issues in a controlled environment

Responsibilities

• Execute, monitor, test, and enhance AD&Co models and related analytics for agency and non-agency mortgage products, prepayment behavior, credit performance, asset-backed securities, option-adjusted spreads, fair value, income, and capital stress scenarios
• Apply analytical thinking and sound decision-making to assess model performance, investigate changes in results, conduct backtesting and benchmarking, and strengthen documentation, controls, and issue remediation
• Communicate model results, key drivers, production status, and emerging risks to stakeholders across Treasury, Finance, Investments, Risk, Capital Planning, and Model Risk Oversight
• Collaborate across departments to align modeling outputs with forecasting, risk management, and capital planning objectives

Skills

Fixed-income modeling

AD&Co modeling

Mortgage prepayment behavior

Model development & backtesting

Python/SQL/Excel

Analytical problem solving

Risk analysis & scenario testing

Education

Bachelor's degree in quantitative field

Tools

Python

SQL

Excel

Backtesting tools

Job description

Charles Schwab in Colorado is seeking a Manager, ALM & Market Risk Modeling to support fixed-income and mortgage modeling capabilities used for balance sheet forecasting, risk measurement, and capital planning.

The role requires applying analytical thinking to model performance, backtesting, and documentation, with collaboration across Treasury, Finance, Investments, Risk, and Model Risk Oversight in a hybrid on-site setting.