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Marc Henrard

photo Marc Henrard

Dr Marc Henrard is an independent expert specializing in interest rate modelling and risk management, and a 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, software development and quantitative research. He previously worked as 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's research focuses on interest rate modelling, risk management and their efficient implementation. More recently, he has focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and professional conferences. Marc is the author of the books "The multi-curve framework: foundation, evolution and implementation" and "Algorithmic Differentiation in Finance Explained".

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


Interest Rate Modelling