Quantitative Modeler-CVA/XVA

2 days ago

Bengaluru, India Live Connections Full time

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.

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