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
- data quality mindset
- cross-functional collaboration
- problem solving
- Python (and/or similar languages)
- credit data architecture
- point-in-time data pipelines
Credit Quantitative Analyst in London employer: Capula Investment Management
Capula Investment Management is an exceptional employer, offering a dynamic and collaborative work culture in the heart of London. With a strong focus on employee development, competitive compensation, and a flat organisational structure, team members are empowered to take ownership of their work and contribute meaningfully to the firm's success. The firm also provides comprehensive benefits, including daily meals and gym facilities, ensuring a supportive environment for professional growth and well-being.
Contact Details:
Capula Investment Management Recruitment Team
