HENRI FRAISSE

Banque de France 

ACPR-DCP

50, rue de Londres

Paris 75009, France

Email: henri.fraisse@acpr.banque-france.fr

28/01/2021

PROFESSIONAL EXPERIENCE                  

Banque de France, Inspection Générale, On-site banking supervision, Internal Risk Models Unit

• Inspector, Head of Mission : Feb. 2018-present

         ECB missions (review of internal models, interest rate and liquidity risks, credit files review, capital planning),  IMF technical assistance mission, ACPR  missions (Credit Risk, Anti-Money Laundering)

         Chair of the Inspection' internal task force on the use of big data and AI for on-site supervisory purposes 

French Supervisory Authority, Research Department

• Senior Research Adviser, Head of the Research Unit : 2017-2018

        Research in  Banking and Financial Regulation, Policy Briefing -

        Management of the team : 4 researchers, 2 consultants

        Member of the steering comitee of the ACPR research initiative, co-organizer of the ACPR academic conference and of the ACPR academic seminars

• Head of the Macro Prudential Risk Division : 2011-2016

        Stress tests, Banking, Insurance, Financial Regulation, Macroprudential Policies, Policy Briefing 

        Management of the team : 25 economists, researchers, quants and consultants

        ACPR representative in international groups (EBA, ECB,ESRB,BIS, EIOPA) on stress testing, financial stability and macroprudential policies        

Banque de France

• Deputy Head of the Microeconomic Studies Division: 2008-2011

        Research in labor economics and consumer finance, Policy briefing

        Co-Management of the team : 12  researchers, consultants and assistant researchers  

• • PhD Candidate in Economics at Cornell University-2004-2008 

• Macroeconomic Studies and Forecasting Unit: Economist-2001-2004

Forecasting and macroeconomic studies (see publications), policy briefing.

Representative of the Banque de France at the Working Group of Forecasting of the Euro system of Central Banks.

Representative of the Banque de France at the Working group on “Labour market mismatches in euro area countries”.           

• Market Operations Department Euro Market Unit : Adjoint de Direction, Fixed Income Portfolio Manager 1999-2001.

Trading-Investment Tools Developments (zero-coupon curves, efficient frontiers and optimal portfolios estimates)-Market Analysis

GAN-GROUPAMA- Collective Insurance Department

• • Actuary : 1998-1999

        Pricing of collective insurance contracts protecting from borrowers’ default

Délégation Générale de l’Armement (Procurement Agency)

• • Mandatory Military Service as “scientific staff” : 1997-1998

EDUCATION

Cornell University: Ph.D. in Economics, 2009

Fields: Labor Economics, Public Economics and Applied Econometrics

Committee: Professor Lawrence M. Kahn (Chair), Professor John M. Abowd, Professor Jed DeVaro.

University of Paris I, Sorbonne: M.S. in Macroeconomics, 2004

M.S. Thesis : « modelisation for the French saving ratio » under the supervision of Antoine d’Autume -Published in the Banque de France Monthly Bulletin Nov.2004-Quoted in the Newspaper “Le Monde” 31.Oct 2004.

ENSAE (Ecole Nationale de la Statistique et de l’Administration Economique), 1997

M.S. in Economics and Statistics (Diplôme de l’ENSAE). Major in financial engineering and actuarial science.

Member of the Institut des Actuaires Français (French Society of Actuaries)

M.S. Thesis : “Option pricing under uncertain volatility : the Avelanedda, Levy and Paras approach”