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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 an additional degree in Operational Research (FUCAM, Mons, Belgium). After a few years in industrial engineering, he joined the former Banque Indosuez in Brussels, Belgium (acquired in 1998 by KBC Bank) in 1981.

Since 1985, he has been active in the financial markets and derivatives sector :

  • Launch of a currency options desk in 1986 : trading and management of the
    desk ;
  • In 1990, management of the primary Bond Market Department ;
  • Since 1992, launch of an interest rates options desk (bond options, caps, floors, collar, swaptions) : trading and management of the desk ;
  • Creation of the first collar transaction (1987), the first averaged option on currencies (1989) and the first averaged cap (1996) in continental Europe ;
  • Since 1996 : management of the Structured Products Department (currencies, interest rates and equities derivatives, including exotics), for Institutional and Corporate clients ;
  • Since 1999 and until the end of March 2004, Director of Financial Engineering Department of CBC Banque, Brussels (a subsidiary of KBC Bank), acting as staff for the Trading Room and Asset.

Management :

  • Setting up derivative structures for Banks’ Institutional and Corporate clients
    (both on the asset and liability side) ;
  • 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 trading systems for the Trading Toom and Asset Management ;
  • Research and Development on financial products and scientific support to the Bank.

In Luxembourg :

  • Since 2020, Independent Conducting Officer and Director for the Foresight Group (Luxembourg) ;
  • Since 2015, Independent Director of Pure Capital Fund SICAV (Luxembourg
  • From 2004 to 2010, Asset Manager of a Hedge Fund (closed in 2010) ;
  • Since 2008, Sole Partner of NEURON S.à r.l., Financial Market Advisor :
    • Advising on the groundwork for launching an Alternative Investment Fund - Portfolio Management process, including due diligence and monitoring of assets ;
    • Consulting on efficient Portfolio Management tools : use of Derivatives, Performance Management, for several Investment Fund Management (IFMs) companies in Luxembourg ;
    • In partnership with the FinTech FundProcess, development of a Cash Flow forecasting tool (drawdowns and distributions) for Private Equity operations.

Teaching activities :

Current affiliations :

  • Since 1990, affiliate professor at the Ecole Supérieure de Commerce de Paris
    (ESCP) (France), teaching Mathematics of Financial Markets and
    Stochastic Calculus (Master of Finance) and later, Funds Performances and Regulations (Master of International Wealth Management) ;
  • Since 2019, professor at IAE Université de Caen (France), Portfolio Management course ;
  • Since 1999, professor at the ESA (French Business School), Beirut (Lebanon) - Mathematics of Financial Markets course ;
  • Professor at CFVG Business School, Hanoi and Ho Chi Minh City (Vietnam) - Portfolio Management course ;
  • Chair and participation to Conferences (about Quantitative Finance, Financial Markets and 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).
  • Previous teaching, seminars taught :

  • Since 2015, professor at HEG, Geneva (Switzerland) – Funds Risk Management course ;
  • Executive Trainings in Financial Markets, Derivatives, Quantitative Finance,
    for banks in Luxembourg, in collaboration with the Chambre des Salariés (Luxembourg) and the PwC Academy (Luxembourg) ;
  • From 2001 to 2018 (age limit), lecturer at the Sorbonne University of Paris
    I (DESS of Finance, directed by Prof. Chr. de Boissieu) ;
  • Since 1995, Lecturer at Institut d’Etudes Politiques (Paris) – Interest rates risk management course ;
  • From 2007 to 2010, Lecturer at HEC (Paris), MBA program – Portfolio Management course ;
  • From 1999 to 2007, professor at the Centro di Studi Bancari at Lugano (Switzerland) - Courses on Derivatives for the Centro and on Risk Management within the framework of GARP international program ;
  • Lessons on Financial Markets at IAG University of Louvain (Belgium), at 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
  • 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 Market Modeling for Portfolio Management ;
  • In partnership with the FinTech FundProcess : Cash Flow forecasting tool (drawdowns and distributions) for Private Equity operation (in collaboration Mr. Michel Godefroid) ;
  • Portfolio Management decision tools :
    • Dynamic programming (Equity Portfolio Management), with the University of Louvain ;
    • Multi-criteria analysis (Equity Portfolio Management), with the University of Liège (Prof. M. Roubens), financed b the European Union ;
    • Use of neutral networks in intraday forecasting, with ELSEWARE Paris.

Publications :

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, up to 5th edition, 2021 ;
  • 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. ;
  • Decision making with quantitative financial data - Applications, precautions and pitfalls, Springer 2021, 61 p. ;
  • Forthcoming : With X. Divay : Gouvernance, Confirmité et Gestion des Risques, EMS Management & Société.

  • Papers :

  • 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 ;
  • 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 ;
  • Investing in ETFs – a great success story… without risks ?, AGEFI Luxembourg, July-August 2019 ;
  • 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 ;
  • Crédits « toxiques » : il n’y a pas que les produits titrisés de crédit…, AGEFI, Luxembourg, Dec 2009 ;
  • 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), N°725, Juin 2010 : about structured credits to French local authorities ;
  • 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.

  • 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).