Job Type

Full Time

Job Reference #

341337BR

City

Pune

Key Responsibilities

We are expanding our Group Treasury Modelling capabilities to strengthen behavioral modeling of residential mortgages and non-maturing deposits (NMDs) for interest rate risk management. In this role, you will develop models that capture complex client behaviors through scenario-based cash flow projections and convert them into advanced interest rate risk metrics and replicating portfolios. These models will directly inform our Economic Value (EV) and Net Interest Income (NII) risk management, support Funds Transfer Pricing (FTP) and profitability analysis, and guide hedging strategies across the balance sheet.

What you’ll do:

Residential mortgage modelling: Integrate, maintain and calibrate our prepayment models based on ADCO loan dynamics suite. Develop, integrate and enhance our OAS modelling framework combining term structure modelling with the prepayment models to ensure convexity and path-dependent outcomes are captured for optimal hedging strategies.



Develop a mortgage pipe-line pull-through model. Advance risk metrics and hedging strategies for convexity risk management.
Commercial Real Estate (CRE) modelling: Develop and maintain US CRE mortgage prepayment model and integrate into the OAS valuation engine and NII interest rate risk platforms.
NMD replication modelling: Develop and maintain non-maturing deposit replication models. Build and calibrate replicating portfolio (RPF) strategies that convert depositor behavior into fixed cash-flow ladders to capture behavioral duration profiles. Develop and advance deposit rate modelling (DRM) and volume/attrition modelling, and incorporate their outputs to replication strategies and NII projections.
EVS/NII and FTP integration: Support alignment of model methodologies with margin-stripped EVS policies. Integrate model outputs into our EVS/NII risk management and FTP frameworks.
Tooling and productionisation: Build robust, well-teste

📌 ALM Modelling Specialist in Group Treasury (Pune)
🏢 UBS
📍 Pune