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Un jour, j'irai vivre en Théorie. Parce qu'en Théorie, tout se passe toujours bien.
Pierre Desproges
Frédéric got his PhD from the Ecole Polytechnique de Louvain (UCLouvain) in 2007 in the field of adaptive signal processing. He worked on signal separation techniques with biomedical applications, in particular on the separation of fetal ECG signals from the mother’s one recorded externally using non-invasive techniques. Afterwards, Frederic moved to the banking sector where he spent 7 years as a front office quant, working in the trading room of a major European Bank. He was in charge of developing pricing and hedging models related to credit-sensitive derivatives product. Since 2014, he’s full time tenured professor of quantitative finance at the Louvain School of Management (UCLouvain). He belongs to the Louvain Institute for Data Analysis and Modelling in statistics and economics (LIDAM). He's currently the President of the Louvain Finance research center (LFIN). He’s a fellow of Center for Operations Research and Econometrics (CORE). He’s Professeur Affilié to HEC Montréal and Professeur Vacataire at EM Lyon. Frédéric is Associate Editor of Risks, Frontiers in Applied Mathematics & Statistics, Statistical Methods and Applications and Regards économiques.
Professional experience
Current : Professeur @ UCLouvain (Be), Professeur Vacataire @ EMLyon (Fr) & Professeur Affilié @ HEC Montréal (Ca).
Louvain School of Management / Accounting & Finance dpt
Louvain Institute for Data Analysis and Modeling (board member) / Louvain Finance research center (Chairman) & CORE (Fellow)
Since 2014: Owner & founder of CQFD, a consulting company in quantitative modeling
2016-2020 : Associate professor (tenured) @ UCLouvain, Belgium
Louvain School of Management / Accounting & Finance dpt
Louvain Institute for Data Analysis and Modeling / Louvain Finance research center (Research Director) & CORE (Fellow)
2014-2016 : Assistant professor (tenure track) @ UCLouvain, Belgium
Louvain School of Management / Accounting & Finance dpt
Louvain Institute for Data Analysis and Modeling / Louvain Finance Center (Fellow) & CORE (Fellow)
2007-2014 : Front Office Quant @ ING
several roles up to Senior Expert
Development of trading & risk management models (xls, R and cpp), essentially related to credit risk (CDS, CDO, CVA, etc)
Trading room from 2008 to 2014
2002-2007 : Teaching & Research Assistant @ Ecole Polytechnique de Louvain, UCLouvain, Belgium
PhD on Blind Source Separation and Independent Component Analysis. Jury members: M. Verleysen (supervisor), J-D Legat (Chairman), Ph Lambert, Ph Delsarte, C. Jutten, E. Oja.
In charge of teaching courses in electricity & analog and digital electronics
Education
2002-2007 PhD (teaching assistant) @ Ecole Polytechnique de Louvain, UCLouvain, Belgium
2000-2002 Master in Electro-machanical (mecatronics) engineering @ Ecole polytechnique de Louvain, UCLouvain, Belgium
1998-2000 Bachelor in civil engineering @ Ecole polytechnique de Louvain, UCLouvain, Belgium
1992-1998 Seconday school @ College cardinal Mercier, Braine-l'Alleud, Belgium
CQFD
Consulting in Quantitative in Finance and Derivatives (CQFD) provides expertise in the field of financial (and more generally, in stochastic) modeling. Among the names that can be mentionned, one can mention ING and Engie.
I also provide graduate trainings and intervene in continuing education programs such as CERA (Institute of Belgian Actuaries).
Teaching
LLSMS 2225 - Derivatives Pricing (Business Engineering / Financial Engineering major, Louvain-la-Neuve campus, 2014-today)
LLSMS 2226 - Credit & Interest Rates Risks (Business Engineering / Financial Engineering major, Louvain-la-Neuve campus, 2014-today)
MLSMM 2123 - Enjeux de la Finance Durable (Management science & Business Engineering / Sustainable Finance major, Mons campus, 2023-today)
MLSMM 2123 - Fixed Income Analysis (Management science & Business Engineering / Financial Management major, Mons campus, 2014-2022)
MGEHD 2229 - Risk Management (Master in Management Horaire Décalé, Mons campus, 2020-today)
MQANT 1113 - Probabilité & statistiques (Bachelor in Management, Mons campus, 2014-today)
7ARM2 - Risk Management II (Master in Finance programme Grandes Ecoles, EM Lyon, 2020-today)