Quantitative Modeler-CVA/XVA

Job Title: Quantitative Analyst CVA / XVA (Front Office Support)

Location: Bengaluru

Work Model: Hybrid

About the Role

We are looking for an experienced Quantitative Analyst (Desk Quant) to join a leading investment banking environment. This role involves supporting traders directly on the desk, developing pricing models for interest rate and cross-currency derivatives, and enhancing the robustness of CVA/XVA pricing frameworks. You will work closely with trading and risk teams, leveraging your programming and modeling expertise to deliver front-office quant solutions.

Key Responsibilities

• Provide front-office desk quant support to CVA/XVA traders, actively engaged in daily pricing of Interest Rate Swaps, Caps, Swaptions, Cross-Currency Swaps, and Options.
• Develop, implement, and maintain quantitative pricing models within the Front Office Quant Library using C++ and Boost libraries .
• Engineer and integrate pricing engines and tools (e.g., Rate Lock model) into Excel via C# libraries , streamlining trading workflows and improving efficiency.
• Refactor and optimize C++ quant libraries , ensuring scalability, maintainability, and alignment with industry best practices.
• Lead the validation of Interest Rate CVA CCAR models , ensuring compliance with regulatory and governance requirements.
• Develop and execute regression tests (Excel, XML) covering Simulation, Trade Valuation, Aggregation, and XVA calculation to improve model robustness.
• Implement Yield Curve Models using bootstrap methodologies in Python for valuation and risk analytics.
• Expand asset coverage within the XVA pricing library by integrating new instruments such as Cross-Currency Swaps (XCCY) .
• Collaborate with trading desks, risk management, and technology partners to deliver accurate, timely, and reliable quantitative solutions.

Key Skills & Experience

• 612+ years of experience as a Quant/Desk Quant/Quant Developer in a trading or risk environment.
• Strong expertise in Interest Rate Derivatives, CVA/XVA pricing, and Monte Carlo simulation techniques .
• Advanced programming skills:
• C++ (Front Office Quant Development expert level)
• Python (model development & prototyping)
• Exposure to C#, Java, MATLAB, R, VBA is an advantage.
• Proven experience in model implementation, validation, and integration within trading and risk systems.
• Strong understanding of curve building, pricing models and stochastic calculus .
• Ability to work in a fast-paced trading floor environment , delivering under pressure with accuracy.
• Excellent communication skills for interaction with traders, quants, risk, and governance teams.

Why Join

• Work directly with front-office trading desks on high-impact derivative pricing models.
• Gain exposure to a wide range of interest rate and cross-currency products .
• Be part of a dynamic team enhancing quantitative libraries and pricing frameworks .
• Opportunity to apply advanced quantitative, programming, and financial modeling skills in a global capital markets environment.