We are seeking a Quantitative Developer to join the development team within risk modelling group. This role is critical to the delivery of strategic risk architecture initiatives, including the development and enhancement of risk analytics platform for Counterparty Potential Future Exposure (CPFE) and Trading Book Value at Risk (VaR).
Successful candidate will contribute to the design and implementation of core components of the recent risk stack, which underpins the CPFE framework and other risk engines used in the broader VaR architecture.
This is a hands-on role at the intersection of quantitative development, derivatives pricing, and production-grade software engineering. It is well suited to someone who combines solid coding ability with a solid understanding of fixed income and derivatives valuation, and who is motivated by building robust, scalable analytics used directly in production.
In this role, you’ll make an impact in the following ways:
Design, develop, and enhance in-house pricing and risk analytics software for fixed income securities and derivatives




Contribute to the build-out core components of the CPFE framework.
Support development of orchestrator for handling pricing requests across multiple risk engines
Re-engineer and improve end-to-end data pipelines for market data, trade data, and stress scenarios
Implement and maintain analytics for mark-to-market, net present value, price under shocks, and sensitivities
Enhance pricing models for complex products, including callable bonds, convertible bonds, and other structured fixed income instruments
Ensure software is robust, maintainable, protected, and performant for direct production use
Write high-quality code in Python and C++, following sound engineering and testing practices
Participate in code reviews, automated testing, and CI/CD processes
Use deterministic tooling and engineering controls to maintain code quality and reliability
Collaborate closely with quantitative analysts,

📌 Vice President, Model Development Pune
🏢 BnY
📍 Pune