Quantitative Modeler-CVA/XVA

Role Overview: You will be joining a leading investment banking environment as a Quantitative Analyst (Desk Quant), where you will provide front-office support to CVA/XVA traders. Your main responsibilities will include developing pricing models for interest rate and cross-currency derivatives, enhancing pricing frameworks, and collaborating with trading and risk teams 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. Qualifications Required: - 6+ 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 in C++ (Front Office Quant Development - expert level) and 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.,