Short bio

Dr. Marc Henrard

Marc Henrard is a Advisory Partner at OpenGamma and visiting professor at University College London.

Over the last 20 years, Marc has worked in various areas of quantitative finance. His experience includes management positions in risk management, trading, quantitative research and software development. In particular he has been Head of Interest Rate Modeling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.

Marc's research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design) and balance sheet impact of derivatives. He publishes on a regular basis in international finance journals, and is a regular speaker at academic and practitioner conferences. He is the author of The multi-curve framework: foundation, evolution, implementation (2014) and Algorithmic Differentiation in Finance Explained (2017).

Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.

More details on his LinkedIn profile: https://uk.linkedin.com/in/marchenrard

Experience

Education

  • Equivalence to the French diploma Habilitation à diriger des recherches, 1999.
  • PhD in mathematics, Université catholique de Louvain, 1996. PhD in mathematics titled "Topological degree methods in boundary value problems: Existence and multiplicity results for second order differential equations" obtained with the highest grade (La Plus Grande Distinction et les Félicitations du Jury).
  • MSc in mathematics, Université catholique de Louvain, 1992. 

 Publications

Available at ssrn.com/author=352726 and ideas.repec.org/e/phe51.html.
Two books, 50 papers in finance (interest rates, inflation, risk management and computational finance) and 15 papers in math. SSRN top 0.25% worldwide ranking in readership. Regular reviewer for international journals. Research results used by banks and software providers worldwide.

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