IRRBB Modelling Lead in Group Treasury

Job description

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.