Credit Quantitative Analyst (0CBBC36)

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 capabilities across credit 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, and producing ETF total-return series with the rates component separated from credit returns. They should understand CDS option or tranche pricing, be comfortable reconciling multiple data sources, have solid Python or similar programming skills, and hold a degree in a quantitative discipline.