As an IIMB alum who's considering an MFE soon, I think I'm in a position to comment on this.
Why not both? The MBA first and then the MFE. In my personal experience, an MBA from a top B-School in India (A/B is better) is really really valuable. It does add about 3 years to your overall career timeline (2 years of the MBA plus a year of work to ease the financial pressure a little), but in my opinion it's totally worth it. This is my list of Pros/Cons,
Pros:
1) Job security ++ especially if things go wrong and you have to come back to India. Also, the understanding that quant jobs are non existent is not true. They are competitive, but going by your profile you should have no problems getting through the door to interview at the least. I work in a BB quant role myself.
2) Significant value addition to your MFE application. Some schools (Berkeley etc.) give a lot of weightage to your overall experience.
3) The crème de la crème at IIM is a lot more mature than the one at the top UG colleges (I went to BITS Pilani). I've an overwhelming number of contacts across the world due to this and some very close friends too. Learnt a lot from my peer group.
4) The opportunity to explore other careers like Management Consulting if you should wish to. Can always come back to Fin if you don't enjoy it as much.
Cons:
1) It's very tough to get a good GPA at the IIMs, though perhaps okay to assume that you'll do well on the quant/finance courses which you should highlight on your resume.
2) Time. Arguable that in that total time period an MFE plus work-ex might be a better option if you know for sure you want to work in a quant fin role perhaps in the US.
It does ultimately come down to the person in question though, if you like networking and a generalist idea of business (which for me was invaluable, YMMV) IIM is a no-brainer.
