How to Deal with Associate with ZERO Social Skills

I've had this exact same experience.  I don't have a great answer but I can tell you what I tried to do, and with the benefit of hindsight, to make the situation bearable.  I'll probably sound like a jackass with some of these points but it's all in the spirit of self-preservation.

• This is the type of individual that should make you feel thankful about your own ability to interact with others.  Instead of getting flustered, just eat your shit sandwich and, when you're done, thank the lord that you don't have to go through life like that.
• You can quickly learn the X's and O's of being a banker but learning how to be a sociable human is far from obvious for some people.  In my scenario, I was speaking to the individual after I left and they were honest about how they wished they could be more like me (weird humblebrag, hand up, sorry).  It was actually a big moment for our relationship because it forced some empathy and contextualized their behavior towards me in the prior years.
• Don't go down to their level.  If they're passive aggressive, don't be.  If they're a dick, don't be back.  If they're void of humor or constantly negative, smile and stay (outwardly facing) positive.
• Look for opportunities to have breakthroughs.  There is absolutely nothing better than finally getting these guys/gals to lighten up or crack a smile.  There will be opportunities for humanizing moments so don't let them pass.
• Keep your eyes open and make mental notes of their behavior that crushes the team/people junior to them.  Some day soon you'll be in a position where you're leading people and you're getting a first hand experience of what not to do.  In a backwards way, you're getting a good managerial training right now.  
• Don't take any of it personal.