Erik Kroon

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Erik Kroon - Research Manager Financial EngineeringResearch manager, Financial Engineering, BNP Paribas Asset Management

Erik has more than 30 years of experience in finance. He is involved in the modeling work for institutional clients and works closely together with the Multi Asset Solutions (MAS) team. He has developed various innovative simulation models that are used by the MAS team when constructing pension fund ALM strategies.

Prior to this, he worked in various settings as a researcher within the investment management departments of ABN AMRO Asset Management and later Fortis Investments.

He has  researched a broad array of issues. In his time at ABN AMRO he wrote several client research brochures and articles on topics such as the January effect, active management, credit bonds as an asset class, socially responsible investing, the countries versus industries debate in equity investing, alternative assets, strips, leading indicators of the business cycle, and currency effects in stock prices. Some other examples of his research are projects concerning commodities as an asset class, currency hedging in equity portfolios, return gap as a skills indicator, the development of a line of equity factor models used for risk management and performance attribution, and the evaluation of customized stocks screens made by internal portfolio managers.

For some years he made a side step from his pure quant focus when he joined and subsequently became head of ABN AMRO’s Investment Strategy department. He was there responsible for the allocation processes by the internal investment committees and for the internal and external communication of the policies.

He studied quantitative business economics and started to work as a teacher and researcher at two Dutch universities (Nijenrode Business University and the VU University) where he taught subjects like statistics, operations research, business finance and investments. Meanwhile he completed his PhD thesis in 1990 at the Faculty of Economics and Business Administration of the VU University Amsterdam. The topic of the thesis was “Bond Market Efficiency”.

He is participating in Inquire Europe and is a member of Inquire’s Research Committee.