IRRBB Modelling Specialist in Group Treasury

UBS; Pune District; Sur place; INR 2 400 000 - 4 000 000; Plein temps

Résumé du poste

UBS in Pune seeks an experienced quantitative modeller to expand Group Treasury Modelling capabilities. You will develop mortgage, NMD, and CRE prepayment models, integrate with EVS/NII and FTP, and productionize robust Python/C++ libraries.

Collaboration with Trading, Risk and Technology will be essential as will governance and regulatory alignment. The role requires 5+ years in treasury/ALM, strong analytics, and experience in mortgage modelling, with a focus on hedging strategies and risk

Qualifications

• Advanced degree in applied mathematics, statistics, financial engineering, computer science, econometrics, or related field.
• Minimum 5 years in Treasury/ALM function with strong risk modelling knowledge.
• Hands-on mortgage modelling including optionality and prepayment features.
• Familiarity with EVS/NII, FTP and regulatory guidelines; strong Python/C++/SQL and documentation skills.

Responsabilités

• Develop residential mortgage prepayment models and OAS framework for hedging.
• Advance risk metrics and hedging strategies for convexity risk management.
• Model CRE mortgage prepayment and integrate into valuation engine.
• Develop NMD replication models and deposit rate modelling; build replication portfolios.
• Support EVS/NII and FTP integration within risk frameworks.
• Produce robust Python/C++ libraries; deploy models to production risk engines.
• Document model assumptions and governance; recalibrate as needed.
• Collaborate with Trading, Risk, Finance, Validation, and Tech teams; present in governance forums.

Connaissances

Python

C++

SQL

Time-series

Monte Carlo

Survival modelling

Hazard modelling

Back testing

Documentation

Team collaboration

Formation

Advanced degree in quantitative field

Outils

MS Office

Description du poste

Job Type

Full Time

Job Reference #

344171BR

City

Pune

Key Responsibilities

We are expanding our Group Treasury Modelling capabilities to strengthen behavioral modelling 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 productionization: build robust, well-tested Python/C++ libraries and prototypes. Partner with technology teams to deploy these models into production risk engines and P&L tools used by ALM Strategy and Structural Rates Trading;
• model governance: document model assumptions, methodologies, and controls in line with UBS model risk standards. Regularly recalibrate and test models, and support material model changes through established governance processes;
• cross-functional collaboration: work closely with colleagues in Trading, Risk, Finance, Model Validation, and Technology. Present analysis in governance forums and respond to regulatory or audit queries with clarity and rigor.

The team

You will join our Group Treasury Modelling team based in Pune and work closely with our U.S. team based in New York. Our mandate is to model interest rate risk in the banking book (IRRBB) for Wealth Management products and develop ALM strategies for hedging and optimizing interest income. The team is responsible for modeling non-maturing loans and deposits and mortgages, as well as maintaining and documenting these models. Our U.S. team works closely with counterparts in Switzerland to meet both regional and global requirements.

Your Skills And Experience

• Education: advanced degree in applied mathematics, statistics, financial engineering, computer science, econometrics, or a related quantitative field.
• Required experience: minimum 5 years in a Treasury or Asset-Liability Management function. Strong knowledge of interest rate and term structure risk modelling, financial markets, and derivatives. Hands on experience with mortgage modelling required, including optionality and prepayment features.
• Preferred experience with deposit rate modelling (DRM), attrition modelling, and replication modelling. Familiarity with EVS/NII, FTP, and margin-stripping practices. Exposure to OCC, FDIC, or BCBS IRRBB regulatory guidelines.
• Quantitative skills: proven ability to apply numerical analysis, statistics, and financial mathematics to design, validate, and maintain risk management models.
• Technical skills: proficiency in Python, C++, SQL, and MS Office. Experience with time-series analysis, survival/ hazard modelling, regime-switching or state-space models, Monte Carlo simulation, optimization, and back testing. Strong documentation skills.
• Collaboration: ability to work effectively with colleagues in Trading, Risk, Technology, Finance, and Model Validation. Team player with a can-do attitude, comfortable working in an international team environment.
• Mindset: comfortable with change. Proactive, structured, and committed to high-quality model development and governance.

About Us

UBS is a leading and truly global wealth manager and the leading universal bank in Switzerland. We also provide diversified asset management solutions and focused investment banking capabilities. Headquartered in Zurich, Switzerland, UBS is present in more than 50 markets around the globe.

We know that great work is never done alone. That’s why we place collaboration at the heart of everything we do. Because together, we’re more than ourselves. Want to find out more? Visit ubs.com/careers.

Join us

At UBS, we know that it's our people, with their diverse skills, experiences and backgrounds, who drive our ongoing success. We’re dedicated to our craft and passionate about putting our people first, with new challenges, a supportive team, opportunities to grow and flexible working options when possible. Our inclusive culture brings out the best in our employees, wherever they are on their career journey. And we use artificial intelligence (AI) to work smarter and more efficiently. We also recognize that great work is never done alone. That’s why collaboration is at the heart of everything we do. Because together, we’re more than ourselves.

We’re committed to disability inclusion and if you need reasonable accommodation/adjustments throughout our recruitment process, you can always contact us.

Contact Details

UBS Business Solutions SA

UBS Recruiting

Disclaimer / Policy statements

UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.