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

6–12+ 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.