Head of Quantitative Research
Marc Henrard is a Head of Quantitative Research at OpenGamma, focussing on interest rate modelling, risk management, and their efficient implementation. More recently, he has also been looking at market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs).
Over the last 20 years, Marc has worked in various areas of Quantitative Finance including risk management, trading, software development, and research. He has been Global Head of Interest Rate Modelling 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 holds a PhD in Mathematics from the University of Louvain, Belgium. He publishes regularly in international finance journals, is a frequent speaker at academic and practitioner conferences, and lectures as a visiting professor at University College London. He has also authored the books, The Multi-Curve Framework: Foundation, Evolution, Implementation and Algorithmic Differentiation in Finance Explained.
Personal blog: http://multi-curve-framework.blogspot.com