Credit Quantitative Analyst

London Source: WhatJobs

See advert for pay

Overview

In this role, you will own and evolve Capula's credit data and pricing infrastructure, ensuring production-grade data quality and expanding coverage to new credit products. You will work at the intersection of data engineering and quantitative structuring to support accurate risk analytics and pricing. The role offers hands-on ownership of live data pipelines and a path to extend pricing capabilities into ETFs, TRS, and credit tranches. You will collaborate across teams to deliver robust, scalable credit data solutions that drive trading and risk decisions.

Pay / Benefits

competitive salary and bonus scheme
staff development and training opportunities
corporate gym membership
generous pension contribution
free breakfast and lunch in employee restaurant
private medical insurance

Responsibilities

Build and maintain the historical credit dataset (including index rolls, defaults, recoveries, and corporate actions)
Reconcile data across sources (Markit, Bloomberg, dealer marks) for consistency and accuracy
Own day-to-day quality of the credit dataset as a live pipeline with ongoing QC
Develop pricers and spread construction for limited-coverage credit products (Credit ETFs / TRS, z-spread construction, ground-up rates stripping)
Develop credit tranches and clean single-name CDS curves
Map cash bonds to the CDS universe
Support future extension into credit futures and TRS on ETFs

Key requirements

Experience building and maintaining point-in-time datasets through actual credit events and index rolls
Experience producing ETF total-return series with rates leg separated from credit return
Experience running daily QC on a live credit dataset in production
Strong understanding of CDS option and/or tranche pricing models
Experience building and maintaining a credit data ecosystem spanning bonds, single-name CDS, tranches, and vol within a total return framework
Strong reconciliation and data quality instincts across multiple data vendors and dealer sources
Solid programming skills (Python and/or similar) for pricing and data pipelines