Author archive for Marc Henrard

Blog Insights
Swaption risk in SIMM: variability of inputs
5th August 2019 - by Marc Henrard
Marc Henrard
Videos
Video: What you need to know about calculating SIMM
28th May 2019 - by Marc Henrard
Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules. Myself and our Head of…

Marc Henrard
Webinars
Webinar: What you need to know about calculating SIMM
13th May 2019 - by Marc Henrard
Marc Henrard
Research and reports
Strata and multi-curve: Interpolation and risk
16th February 2017 - by Marc Henrard
In this instalment of our blog series focusing on the multi-curve framework in the OpenGamma Strata library, we will discuss…

Marc Henrard
Insights
Strata and multi-curve: Curve calibration and bucketed PV01
25th November 2016 - by Marc Henrard
Introduction Over the last few years, the pricing of vanilla derivatives has become more complex than ever before. This is…

Marc Henrard