Credit Quantitative Analyst (AB54050)

About the role

Build and operate historical credit datasets, reconciling vendor and dealer data and maintaining the quality of raw inputs and derived risk analytics. Develop and extend pricing and spread-construction coverage for credit products, including ETFs, total return swaps, tranches, CDS curves, and cash bonds. Candidates should have hands-on experience building and maintaining point-in-time credit datasets through credit events and index rolls, as well as producing ETF total-return series with rates separated from credit returns. The role requires familiarity with CDS option or tranche pricing, strong data reconciliation skills, solid Python or similar programming ability, and a degree in a quantitative discipline.