ALM Modelling Specialist in Group Treasury

Job Type

Full Time

Job Reference #

341337BR

City

Pune

Key Responsibilities

Are you passionate about building quantitative models that drive balance sheet strategy and interest rate risk decisions? Do you enjoy solving complex analytical challenges and translating client behavior into actionable risk insights? Do you want your work to directly influence hedging strategies, profitability, and financial performance?

We are looking for a Quantitative Treasury Modeler to join our Group Treasury Modelling team. You'll:

• develop, maintain, and enhance residential mortgage prepayment, OAS, and pipeline pull-through models to support convexity risk management and hedging strategies
• build and maintain Commercial Real Estate (CRE) mortgage prepayment models and integrate them into valuation and interest rate risk platforms
• develop and enhance non-maturing deposit (NMD) replication, deposit rate (DRM), and volume or attrition models to support behavioral cash flow projections and NII risk management
• integrate model outputs into Economic Value (EV), Net Interest Income (NII), and Funds Transfer Pricing (FTP) frameworks
• build robust, well-tested Python and C++ libraries and partner with technology teams to deploy models into production risk and P&L platforms
• support model governance through documentation, testing, recalibration, validation, and collaboration with stakeholders across Trading, Risk, Finance, Model Validation, and Technology
  
  

The team

You'll join our Group Treasury Modelling team in Pune and work closely with colleagues in New York and Switzerland. Our mandate is to model interest rate risk in the banking book (IRRBB) for Wealth Management products and develop Asset-Liability Management (ALM) strategies that optimize interest income and support effective risk management. The team develops, maintains, and documents models for mortgages, non-maturing loans, and deposits while meeting both regional and global business requirements.

Your Skills And Experience

• advanced degree in applied mathematics, statistics, financial engineering, computer science, econometrics, or a related quantitative field
• at least 5 years of experience in a Treasury, Asset-Liability Management, or related quantitative risk management function
• strong knowledge of interest rate risk, term structure modeling, financial markets, derivatives, and mortgage modeling, including optionality and prepayment behavior
• experience with deposit rate modeling (DRM), attrition modeling, replication modeling, EV, NII, FTP, or margin-stripping methodologies is an advantage
• proven ability to apply numerical methods, statistics, and financial mathematics to develop, validate, and maintain risk management models
• proficiency in Python, C++, SQL, and Microsoft Office, with experience in time-series analysis, survival or hazard modeling, state-space or regime-switching models, Monte Carlo simulation, optimization, and back-testing
• strong documentation and model governance skills, with exposure to OCC, FDIC, or BCBS IRRBB regulatory guidelines considered beneficial
• collaborative, proactive, and structured approach, with the ability to work effectively across Trading, Risk, Finance, Technology, and Model Validation teams in an international environment
  
  

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.