Quantitative Modeler-CVA/XVA

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

Location:

Work Model:

About the Role

Quantitative Analyst (Desk Quant)

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.