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Multi-curve and Collateral Framework

Presented By: Dr Marc Henrard, Managing Partner at muRisQ Advisory

9th November 2021 13:00 - 17:00 GMT & 10th November 2021 13:00 - 17:00 GMT 

Workshop Overview

Since the 2007 financial crisis, the interest rate markets have changed dramatically with the generalisation of Variation Margin (VM) frameworks and the increased impact of credit spreads embedded in IBOR benchmarks. These market changes lead to major adaptations to interest rate modelling. The VM's remuneration is impacting all valuations and different IBOR benchmarks are linked to different curves, represented respectively by the collateral discounting framework and the multi-curve framework. This workshop will review those two frameworks in a coherent setting, from the foundations to the practical implementations, in particular the curves calibration and risk management repercussions.

Download the full workshop outline here

Tutor Bio

Dr. Marc Henrard is Managing Partner at muRisQ Advisory and Visiting Professor at University College London.

Over the last 20 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development, and quantitative research. He is also Head of Quantitative Research at OpenGamma and prior to that was 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 and risk management. More recently he focused his attention to market infrastructure (initial margin, product design, quantitative impacts of regulation, LIBOR fallback).  He authored two books: The Multi-curve Framework: Foundation, Evolution, Implementation and Algorithmic Differentiation in Finance Explained. Marc holds a PhD in mathematics from the University of Louvain, Belgium.

Price: £895.50 + VAT (If booked 8 weeks before the course date)

This price entitles you access to both days of the workshop.


CQF Alumni: 20%

CQFI Members: 10%

If you are eligible for a discount code please email the Team