Director, Risk Analytics/Modeling (PL)

Your Opportunity 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 Asset Liability Management (ALM) & Market Risk Modeling team within 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 ~$70 billion of off-balance-sheet notional investments and more than $100 billion notional of derivatives.

As a Director in the ALM & Market Risk Modeling team you will play a key role in interest rate risk management and the strategic optimization of the firm’s balance sheet. Your team will be responsible for maintenance of the PolyPaths vendor model and own modeling related to linear and non-linear hedge instruments, prepayment of mortgage-backed securities, asset-backed securities, and dynamic accumulated other comprehensive income forecast. This role not only requires a very detailed technical understanding of PolyPaths but also a deep understanding of Schwab’s balance sheet and interest rate risk hedging instruments. In this function, the Director will partner closely with ALM Strategy, BAU and market risk production teams, traders, risk partners, and technology teams to ensure model output is transparent, well-governed, production-ready, and ready for decision making. What You Will Do

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

What you have Required Qualifications

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 Degree in quantitative fields such as Applied Mathematics, Financial Engineering, Engineering, Economics, or related discipline

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