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 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 interest rate risk management and strategic optimization of the balance sheet through the development and execution of a robust market risk modeling framework, with particular emphasis on interest rate term-structure modeling, curve construction, and scenario generation. You will collaborate with the ALM Analytics and ALM strategy teams, investment portfolio managers, risk partners, and product leaders across the firm to help achieve 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 capital stress testing. You will also contribute to the modeling of interest rate dynamics (e.g., curve evolution, optionality-adjusted measures, and stress/scenario design) and volatility surfaces (e.g., calibration, interpolation/extrapolation, and surface dynamics) to support valuation, hedging, and risk attribution of instruments with embedded options. 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, including the thoughtful use of AI-assisted coding tools to accelerate development, improve code quality, and enhance documentation and testing.
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 Qualifications
• 5+ years of relevant experience (or an equivalent combination of experience and postgraduate study)
• Degree in a quantitative field such as Applied Mathematics, Financial Engineering, Engineering, Economics, or a related discipline
• 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
• Deep experience in interest rate modeling (curve construction/bootstrapping, term structure dynamics, scenario generation) and translating model outputs into risk metrics and business insights.
• Experience with volatility modeling and volatility surface construction/calibration (e.g., swaptions/caps/floors or other option markets), including interpolation/extrapolation and sensitivity analysis.
• 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, or similar languages in a highly regulated environment
• Hands-on experience in a fixed income modeling system such as PolyPaths, QRM, etc.
Preferred Qualifications
• CFA, FRM, or PRM designations are a plus.
• Strong written and oral communication skills; highly motivated self-starter
• Demonstrated ability to use AI responsibly in software development (e.g., accelerating prototyping, refactoring, test generation, code review support, and documentation) while maintaining strong controls for correctness, reproducibility, and model risk governance.
• Ability to multi-task while maintaining composure in a fast-paced environment
• 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
What youll do:
• Own and fine-tune vendor prepayment models on agency residential and commercial MBS and non-agency whole loans for business-as-usual and capital stress testing.
• Contribute to initiatives to streamline and automate model execution, backtesting, and attribution analysis—leveraging AI-assisted development (e.g., code generation, refactoring, unit test creation, and documentation) within established model risk and governance standards.
• Develop and maintain interest rate modeling capabilities (curve construction, term-structure/short-rate models where appropriate, and scenario generation) to support interest rate risk measurement, NII sensitivity, and stress testing.
• Build, calibrate, and monitor volatility surfaces (e.g., swaption/cap/floor or other relevant markets), including methodology selection, parameter stability monitoring, and integration into valuation and risk workflows.
• Design and implement 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.
• Develop in-house quantitative models for ABS prepayment, with a focus on capital stress testing.
• 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.