Credit Data & Pricing Engineer

Referment; Greater London; Vor Ort; GBP 70.000 - 120.000; Vollzeit

Zusammenfassung

Referment in London seeks a quantitative developer/data engineer to own the integrity of core credit datasets and extend pricing capabilities across fixed income products. This role sits at the intersection of data engineering and quantitative structuring.

You will build, maintain and operate live data pipelines, reconciling sources and dealer marks while enabling scalable pricing for ETFs, CDS curves and credit instruments.

Qualifikationen

• Experience building and maintaining point-in-time credit datasets through actual credit events and index rolls.
• Experience producing ETF total-return series with rates separated from credit return.
• Strong grasp of CDS option and/or tranche pricing models.

Aufgaben

• Build and maintain the historical dataset across all credit products, including index rolls, defaults and recoveries, and corporate actions.
• Reconcile data across multiple sources and dealer marks to ensure dataset consistency and accuracy.
• Operate the credit dataset as a live pipeline, managing day-to-day quality of both raw inputs and derived risk analytics.
• Build pricers and spread construction for limited coverage areas, including credit ETFs and total return swaps, with rates separated from credit return.
• Extend coverage to credit tranches, clean single-name CDS curves and cash bonds mapped to the CDS universe, with potential expansion to credit futures and ETFs.

Kenntnisse

Python

Data pipelines

CDS pricing

Reconciliation

Ausbildung

Bachelor's degree in a quantitative discipline

Tools

SQL

Pandas

Jobbeschreibung

Referment in London seeks a quantitative developer/data engineer to own the integrity of core credit datasets and extend pricing capabilities across fixed income products. This role sits at the intersection of data engineering and quantitative structuring.

You will build, maintain and operate live data pipelines, reconciling sources and dealer marks while enabling scalable pricing for ETFs, CDS curves and credit instruments.