Job Type
Full Time
Job Reference #
337419BR
City
Pune
Key Responsibilities
Do you like solving analytical challenges? Do you want your work to have real financial impact?
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 modeling: 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) modeling: Develop and maintain US CRE mortgage prepayment model and integrate into the OAS valuation engine and NII interest rate risk platforms.
NMD replication modeling: 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 modeling (DRM) and volume/attrition modeling, 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
📌 Group Treasury ALM Modeling Specialist (Pune)
🏢 UBS
📍 Pune