Credit Quantitative Analyst (AB54050)

Referment; Greater London; On-site; GBP 70,000 - 120,000; Full time

Job summary

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.

Qualifications

• 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.

Responsibilities

• 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.

Skills

Python

Data pipelines

CDS pricing

Reconciliation

Education

Bachelor's degree in a quantitative discipline

Tools

SQL

Pandas

Job description

Referment is working with a London-based alternative investment manager that runs fixed income, macro and systematic strategies for institutional investors. Its credit business is strengthening the foundational data and product infrastructure behind its pricing and risk analytics, and this role sits at the intersection of data engineering and quantitative structuring.

You will own the integrity of the core credit datasets while extending pricing capability into products the desk cannot yet cover cleanly. It is a hands-on mandate, best suited to someone who has built and operated credit data infrastructure in a live production environment rather than only consumed it for research.

The Role

• Build and maintain the historical dataset across all credit products, covering index rolls, defaults and recoveries, and corporate actions.
• Reconcile data across multiple sources and dealer marks so the dataset stays consistent and accurate.
• Operate the credit dataset as a live pipeline, owning day-to-day quality of both raw inputs and derived risk analytics.
• Build pricers and spread construction where coverage is limited, including credit ETFs and total return swaps, with the rates component cleanly separated from the credit return.
• Extend coverage to credit tranches, clean single-name CDS curves and cash bonds mapped to the CDS universe, with scope to add credit futures and total return swaps on ETFs.

What We're Looking For

• Proven experience building and maintaining point-in-time credit datasets through actual credit events and index rolls.
• Experience producing ETF total-return series with the rates leg separated from the credit return.
• A strong grasp of CDS option and/or tranche pricing models, even if you would not build them from scratch.
• Comfort working across multiple data vendors and dealer sources, with strong reconciliation and data-quality instincts.
• Solid programming skills in Python or similar for pricing and data pipeline tools.
• A degree in a quantitative discipline.

This could suit a quantitative developer, credit quant or data engineer who has worked on credit or fixed income data platforms and wants broader ownership of both the data and pricing stack.

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