Short bio

Dr. Marc Henrard

Marc Henrard is Managing Partner at muRisQ Advisory, Head of Quantitative Research 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 directed his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, LIBOR transition) and balance sheet impact on derivatives value. He publishes on a regular basis in international finance journals, and is a regular speaker at academic and practitioner conferences (more than 75 appearances since 2000): QuantMinds, Quant Summit, Fixed Income Conference, Bachelier congress, etc. 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.

LinkedIn profile: https://uk.linkedin.com/in/marchenrard

Professional 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

SSRN Author page: ssrn.com/author=352726
Repec Author page:  ideas.repec.org/e/phe51.html.
Google Scholar Author page: https://scholar.google.be/citations?user=8yVHuAkAAAAJ
Two books, more than 70 papers in finance (interest rates, inflation, risk management, computational finance and regulation) and 15 papers in pure mathematics. SSRN top 0.20% worldwide ranking in readership. Regular reviewer for international journals. Research results used by banks and software providers worldwide.

Comments

  1. Unknown8 July 2019 at 13:21

    Hello Marc, I am one of the readers of your book. It is a brilliant encapsulation of all the required concepts.

    I am working on a project to build multi currrency IR curves and your book has been very helpful.

    ReplyDelete

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