Quantitative Modeler-CVA/XVA

1 day ago

bangalore, 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.

  • Global Banking

    21 hours ago

    Bangalore, Karnataka, India Goldman Sachs Full time

    What We Do Goldman Sachs Strats business unit is a world leader in developing quantitative models and technologies to solve complex business problems Working within the firm s trading sales banking and investment management divisions strats use their mathematical and scientific training to create financial products advise clients on transactions ...

  • Quantitative Modeling Specialist

    2 weeks ago

    Kolkata, Bengaluru / Bangalore, Delhi NCR, India beBeeQuantitativeModeling Full time US$ 60,000 - US$ 1,20,000

    Job DescriptionWe are seeking a highly skilled Quantitative Modeling Specialist to join our team. The ideal candidate will have a strong background in statistical modeling and machine learning, with experience in developing predictive models.Required Skills and QualificationsDevelop and validate models for risk management and behavioral analysis, with...

  • Quantitative Researcher

    5 days ago

    bangalore, India Acuity Knowledge Partners Full time

    Basic InformationPosition Title: Lead ExecutiveExperience Level: 7-8 YrsLocation: BengaluruJob PurposeThe individual will be responsible for researching and developing predictive signals for financial securities. This will include evaluating, cleaning, and managing large datasets for efficient access. Candidates must have extensive experience developing...

  • Quantitative Developer

    3 days ago

    Bangalore (South), India GR People Prime Consulting Pvt Ltd Full time

    Company Description GR People Prime Consulting Pvt Ltd specializes in the hiring process, ensuring clients secure highly qualified candidates for their positions. We leverage user-friendly, web-enabled software to automate recruitment, assessment, referral, and notification processes. Our company expertly generates and posts job openings across various...

  • Quantitative developer

    18 hours ago

    Bangalore, India Quanteam UK Full time

    Job: Quantitative Developer - Equity Derivatives Location: Bangalore, India - Hybrid/Flexible Working Full Time Rolling Contract Sector: Financial Services / Investment Banking Overview We’re looking for an experienced Equities Quant Developer to join our client’s front-office quantitative team. The role focuses on designing, implementing,...

  • Quantitative Trader

    5 days ago

    bangalore, India GoQuant Full time

    Quantitative Trading (Paid) - GoQuant Technologies Inc.About UsGoQuant develops solutions that make life easier and more profitable for digital asset traders and researchers. We do so primarily by increasing transparency, boosting speed, and placing decisions in the hands of users.We currently offer two solutions: GoMarket and GoTrade. GoMarket is a...

  • Quantitative Researcher

    5 days ago

    bangalore, India Fionics Full time

    Quantitative Researcher - India/Remote40+ top systematic firms seeking exceptional researchers. Multiple immediate openings.What you'll do:Research and develop alpha-generating signals-Build statistical models and ML frameworksCollaborate with PMs and traders on strategy implementationRequirements:2+ years quant research experiencePhD/Masters in quantitative...

  • Quantitative Trading Intern

    5 days ago

    bangalore, India GoQuant Full time

    Quantitative Trading Intern (Paid Internship) - GoQuant Technologies Inc.About UsGoQuant develops solutions that make life easier and more profitable for digital asset traders and researchers. We do so primarily by increasing transparency, boosting speed, and placing decisions in the hands of users.We currently offer two solutions: GoMarket and GoTrade....

  • Risk-bengaluru-analyst-quantitative Engineering

    3 days ago

    Bangalore, Karnataka, India Goldman Sachs Full time

    Job Category Analyst Risk Engineering is part of the Risk Division of Goldman Sachs This is a central part of the Goldman Sachs risk management framework with primary responsibility to provide analytical solutions data-driven insights robust metrics and effective technologies for risk management RE is staffed globally with offices in USA UK ...

  • Quantitative Strategist Intern — IIT Undergraduate Students

    24 hours ago

    bangalore, India Longshanks Capital Full time

    FirmHeadquartered in Berkeley Square of Mayfair, London, Longshanks Capital is a proprietary trading firm specializing in quantamental finance adopting a data-driven and semi-systematic approach in the equity derivatives markets.Role and LocationThis role is a part-time internship and remotely based in India (with the prospect of visa sponsorship for...