Quantitative Modeler-CVA / XVA (Immediate Start)

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

Why Join