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About Alain RUTTIENS

lundi 28 octobre 2013, par Pascal

Alain holds a Masters Degree in Chemical Engineering (Faculté Polytechnique de Mons, Belgium), with a further degree in Operational Research (FUCAM, Mons, Belgium). After some years in the industrial engineering, he joined in 1981 the former Banque Indosuez in Belgium, bought in 1998 by KBC Bank (Belgium). Since 1985, active in financial markets and derivatives :

  • launching of a currency options desk in 1986 : trading and management of the desk
  • in 1990, management of the primary bond market dept
  • since 1992, launching of an interest rates options desk (bond options, caps, floors, collar, swaptions) : trading and management of the desk
  • building the first collar operation (1987), the first average option on currencies (1989) and the first averaged cap (1996) in continental Europe
  • from 1996 : management of structured products dept (currencies, interest rates and equities derivatives, including exotics), for institutionals and corporates.

Since 1999 and until end of March 2004, Director of Financial Engineering Department in CBC Banque, Brussels (affiliate of KBC Bank), acting as staff for the Trading Room and Asset

Management :

  • building up of derivatives structures, for institutional and corporate clients of the bank (both on the assets and on the liabilities sides)
  • interface between the Trading Room and the Information Systems Department in applications for the Trading Room, evaluation of Front Office software systems
  • development – with help of academics and software companies – of expert systems in trading and position management, for the Trading Room and Asset Management
  • R & D in financial products, and scientific support to the Bank.

Since 2004, in Luxembourg, asset manager of a hedge fund (closed in 2010), and since 2008, sole Partner of NEURON sàrl, consulting on financial markets. Since 2015, Independent Director of Pure Capital Fund SICAV, Luxembourg.

Teaching activities :

  • Affiliate professor at the Ecole Supérieure de Commerce de Paris (France), teaching Mathematics of Financial Markets in their Master of Finance program since 1989, and Interest rates derivatives in the last year graduation program (1999-2007)
  • Lecturer at the Sorbonne university of Paris I (DESS of Finance, directed by Prof. Chr. de Boissieu) since 2001
  • Lecturer at Institut d’Etudes Politiques (Paris), since 1995 – Interest rates risk management
  • Professor at the ESA (French business school), Beirut, Lebanon : since 1999 various courses over years, i.e., currency and interest rates risk management, portfolio management, alternative investment, mathematics of financial markets
  • Professor at HEG, Geneva (Switzerland), since 2015 – Funds Risk Management
  • Professor at CFVG business school, Hanoi and Ho Chi Minh City, Vietnam
  • Executive Training in financial markets, derivatives, quantitative finance, for banks in Luxembourg, in collaboration with PwC Academy, Luxembourg
  • Chair and participation to Conferences (about quantitative finance, financial markets & instruments) in Luxembourg, London, Paris, Zurich, Lille, AFFI, AFA (USA), Belgium
  • Support & jury member to several PhD thesis in the area of financial markets (London, Brussels and Paris)

Past activities :

  • Lecturer at HEC (Paris), MBA program, since 2007 – Portfolio Management
  • Professor at the Centro di Studi Bancari at Lugano (Switzerland), 1999-2007 : courses on derivatives for the Centro and on Risk Management within the framework of GARP international program
  • Lessons on financial markets in IAG University of Louvain (Belgium), in Université de l’Etat, Mons (Belgium) and Antwerp (Belgium)
  • Seminars about financial markets and derivatives, among others for the Institut d’Etudes Politiques (Paris), the ABB (Belgian banks association), the IFBL (Luxembourg banks association), the Crédit Agricole Indosuez bank (Paris), and the Royal Association of Belgian Actuaries
  • Conferences (swaps, modeling of financial markets, derivatives, etc) in Belgium, France, Luxembourg and Switzerland
  • Brussels, 1991 : co-chair of 1st International Meeting of the Decision Sciences Institute (Atlanta, USA) ; regular participations to the annual meetings of this institute

Applied research :

  • pricing of average currency options (published in RISK, London, proceedings in DSI and AFFI conferences)
  • financial risk management, in particular, risk measure and performance
  • financial market modeling :
  • non-Gaussian processes and options smiles (with support of the Belgian Fonds National de la Recherche Scientifique)
  • short term mean reverting processes
  • switching processes
  • correlation modeling
  • intraday volatility modeling
  • volatility measures
  • decision help tools (past research) :
  • dynamic programming (equity portfolio management), with the Université de Louvain (Prof. Ph. Chevalier)
  • multi-criteria analysis (equity portfolio management), with the Université de Liège (Prof. M. Roubens), financed by the European Union
  • use of neural networks in intraday forecasting, with ELSEWARE, Paris.

The output of these researches has been presented in many conferences, including in London, Luxembourg, Paris and other places.

Publications :

About financial markets products and modeling :

  • author of several papers presented in Belgium (Fonds National de la Recherche Scientifique), France (Association Française de Finance) and the USA (Decision Sciences Institute)
  • papers published in specialized magazines : Actu-L (Université de Louvain), Forum (Belgian association of bankers), Euromoney (London)
  • papers published in financial newspapers : l’ECHO (Belgium), Wall Street Journal Europe, Nikkei (Japan), Agefi Luxembourg

Some references :

  • Classical replica : pricing and managing an average-rate option position, RISK, vol.3 n°2, February 1990
  • Fund Performance and Market Volatility, AGEFI Luxembourg, April 2012.
  • Journal of Computational Economics, Portfolio Risk Measures : The Time’s Arrow Matters, on line since August 2012, printed version : March 2013

others :

  • monthly chronicle on currencies and interest rates hedging, in the AWEX (Agence Wallonne à l’Exportation et aux Investissements Etrangers), from October 2004 to January 2008
  • Comment quantifier le smile d’une option ? (« How quantifying the option smile ? »), Derivative, n°1, 2004
  • How to choose a hedge fund manager, RISK, vol. 17 n° 8, August 2004
  • Pour contribuer à réduire le risque de pertes dans les activités de marché : la gestion d’actifs et le “risque de position”, AGEFI, Luxembourg, Oct 2008
  • Actifs toxiques : il n’y a pas que les produits titrisés de crédit…, AGEFI, Luxembourg, Dec 2009

Papers, as a co-author :

Adela BAHO, Alain RUTTIENS, Probability and Pertinence, Risk Management eJournal, Vol.6, N° 128, Dec 15, 2014 and also in International Journal of Business and Management Study, vol.2, issue 1, 2014. This paper is about the VaR calculation.

Simon DABLEMONT, Geoffroy SIMON, Amaury LENDASSE, Alain RUTTIENS, Michel VERLEYSEN, Prédiction de séries temporelles financières par double carte de Kohonen et modèles RBFNS locaux, ACSEG’2003 proceedings – Connectionist Approaches in Economics and Management Sciences Nantes (France), 20-21 November 2003

Simon DABLEMONT, Geoffroy SIMON, Amaury LENDASSE, Alain RUTTIENS, François BLAYO, Michel VERLEYSEN, Time series forecasting with SOM and local non-linear models – Application to the DAX30 index prediction, WSOM, Kitakyushu, Japan, September 2003

Frédéric GROS, Alain RUTTIENS, Produits structurés, un jeu risqué, Revue BANQUE (Paris), about structured credits for French local authorities.

Books :

  • BELFOX, La Bourse belge des futures et options (“the Belgian futures & options exchange”), with a foreword of the Belgian Ministry of Finance ; Editions ESKA, Paris (1991)
  • Manuel des Produits Dérivés (“Manual of derivative products”), Editions ESKA, Paris, 1997, 2nd edition 1999
  • co-author (chapter on currency risk hedging) of Financieel Management Export (in Dutch), Kluwer, 1995
  • Futures, Swaps, Options – Les produits financiers dérivés, Edipro, Liège & Paris, 2003, 4th ed. : 2012, 400 p.
  • Mathematics of Financial Markets, John Wiley & Sons, March 2013, 333 p.
  • Co-author with Charles Muller : A practical Guide to UCITS funds and their risk management, Edipro, May 2013, 144 p.

Miscellaneous :

  • honored as IAG Fellow by the University of Louvain, Belgium, in 1998
  • member of the Decision Sciences Institute (Atlanta, USA) since 1987.
  • Jury member for the Technical Analysis Awards (London).