Research Associate at EDHEC-Risk Institute, Thierry Roncalli is also Head of Quantitative Research at Lyxor Asset Management. He joined Lyxor in 2009 as Head of Research and Development and was appointed Head of Quantitative Research in 2012. Prior to Lyxor, hewas Head of Investment Products and Strategies in the Structured Asset Management Department at SGAM in 2005. He was previously the Head of Risk Analytics at the Groupe de Recherche Opérationnelle of Crédit Agricole. From 2001 to 2003, he was also a member of the Industry Technical Working Group on Operational Risk (IT-WGOR). Thierry began his professional career at Crédit Lyonnais in 1999 as a financial engineer. Before that, Thierry was a researcher at the University of Bordeaux and then a Research Fellow at the Financial Econometrics Research Centre of Cass Business School. During his five years of academic career, he also served as a consultant for different banks and asset managers.
Thierry holds a PhD in Economics from the University of Bordeaux and is the author of many articles in quantitative finance. He has also published two books on Financial Risk Management and Quantitative Asset Management. His last book “Introduction to Risk Parity and Budgeting” has been published in August 2013 by Chapman & Hall. Since 2003, he has been Professor in Finance at the University of Evry.