Experience

Cardano

• Netherlands
• Financial Services
• 300 - 400 Employee

• Client Director

  • Jul 2022 - Present

  Rotterdam, Zuid-Holland, Nederland



Milliman

• United States
• Business Consulting and Services
• 700 & Above Employee

• Director of Portfolio Solutions

  • Jan 2019 - May 2022

  Amsterdam Marcel Kruse, RBA, heads the Milliman Financial Strategies, the hedging & overlay solutions practice of Milliman in the Netherlands. Marcel advises Dutch pension funds on managing financial balance sheet risks. He is also responsible for the implementation, execution and monitoring of hedging programmes, such as derivative overlays to hedge interest rate, inflation, currency and equity risks for pension funds and insurers.



pensioenfonds ING

• Financial Risk Manager (a.i. via Milliman)

  • Jun 2020 - Dec 2020

  As financial risk manager I am part of the risk management department of pensioenfonds ING. In my role I am sparring partner on financial risks of the internal investment managers. Writing risk opinions concerning investment proposals, investment mandate amendments, manager selection are part of my position. Projects where I am participating: Balance Sheet Mgt plan (strategic investment policy), Social Responsible Investing (climate risk), financial risk report, deep dive interest rate… Show more As financial risk manager I am part of the risk management department of pensioenfonds ING. In my role I am sparring partner on financial risks of the internal investment managers. Writing risk opinions concerning investment proposals, investment mandate amendments, manager selection are part of my position. Projects where I am participating: Balance Sheet Mgt plan (strategic investment policy), Social Responsible Investing (climate risk), financial risk report, deep dive interest rate hedging . Show less



KAS BANK

• Netherlands
• Banking
• 300 - 400 Employee

• Senior Balance Sheet Manager

  • Apr 2016 - Dec 2018

  Amsterdam Area, Netherlands Risk Solutions - Balance Sheet Management Providing institutional clients like, pension funds, insurance companies, investment funds and private wealth managers with advice, implementation and execution regarding management of their balance sheet. The main segments are currency risk management, interest rate risk management, investment allocation, implementation management and transition management. My role: Strategic responsibility for the balance sheet management team of KAS BANK… Show more Risk Solutions - Balance Sheet Management Providing institutional clients like, pension funds, insurance companies, investment funds and private wealth managers with advice, implementation and execution regarding management of their balance sheet. The main segments are currency risk management, interest rate risk management, investment allocation, implementation management and transition management. My role: Strategic responsibility for the balance sheet management team of KAS BANK Risk Solutions. The team manages for 26 clients the currency overlay, LDI portfolio or executes the strategic asset allocation. Total AUM 9,3 bn. Strategic – Strategy responsible for the balance sheet management activities. Setting the team strategy and milestones. Product development – Responsible for determining the product range, development of new products, enhance existing products. Commercial – Internal and external promotion of the activities and managing the relations of the team. Responsible for new business, retention of current business and accountable for the revenue of the team. Technical and process – Determine the technical standards of the processes of the balance sheet management products. Liaise with operations and risk management to implement the processes/systems. Show less



Achmea Investment Management

• Investment Management
• 200 - 300 Employee

• Senior Portfolio Manager Fixed Income Sovereign & LDI

  • Aug 2013 - Feb 2016

  Utrecht Fixed Income sovereign & LDI team Manages for institutional clients like pensionfunds and Achmea insurance 30+ fixed income sovereign and SSA portfolios with 25 bln AUM. The portfolio’s ranges from sovereign European core to LDI mandates. Performance drivers: duration, curve, credit spread and Asset swap. My role: Strategic responsibility for the active LDI strategy and co-responsible for managing the fixed income portfolios. Product development – Responsible for the… Show more Fixed Income sovereign & LDI team Manages for institutional clients like pensionfunds and Achmea insurance 30+ fixed income sovereign and SSA portfolios with 25 bln AUM. The portfolio’s ranges from sovereign European core to LDI mandates. Performance drivers: duration, curve, credit spread and Asset swap. My role: Strategic responsibility for the active LDI strategy and co-responsible for managing the fixed income portfolios. Product development – Responsible for the development of LDI product which consists of a liability hedge with swaps, government bonds and SSA’s. I have written the LDI policy and LDI communication/reporting structure. Commercial - Client responsibility where I am accountable for the LDI strategy, implementation and performance (in periodic writing or verbal presentations). Together with the commercial department I am responsible for new business development. Portfolio management - Responsible with a team of 5 portfolio managers for the daily active management of the fixed income sovereign and SSA portfolio’s. Strategy responsibility for 30+ fixed income government mandates (Performance drivers: duration, curve, credit spread and carry & roll). Responsible for the LDI strategy, implementation of the LDI strategy, risk management and performance. Client advice - Benchmark selection, portfolio construction mandate setup and portfolio transitions. Periodic advice to the LDI clients.

• Senior Portfolio Manager Treasury & Derivatives

  • Mar 2008 - Aug 2013

  Utrecht Area, Netherlands Responsible for managing balance sheet exposures like interest rate, currency, inflation and equity risks for Dutch pension funds and Achmea insurrance. Advising, ALM calculations and transaction execution are the main part of my daily activities. • Client advise and implementation of derivative overlays structures with interest rate, inflation and equity derivatives • Balance sheet management (ALM /LDI solutions) • Execution derivative transactions • LDI Fund manager (Liability… Show more Responsible for managing balance sheet exposures like interest rate, currency, inflation and equity risks for Dutch pension funds and Achmea insurrance. Advising, ALM calculations and transaction execution are the main part of my daily activities. • Client advise and implementation of derivative overlays structures with interest rate, inflation and equity derivatives • Balance sheet management (ALM /LDI solutions) • Execution derivative transactions • LDI Fund manager (Liability Overlay Fund) • Execution of strategic asset allocation for pension fund



Rabobank International

• Senior Exotic Derivatives Analyst

  • Nov 2004 - Feb 2008

  Utrecht Area, Netherlands Reporting P&L of the investment grade, repo, money market and exotic derivatives trading books to the trader and front office management. • Comprehensive knowledge of investment banking products like interest rate swaps, bonds, repos, deposits and exotic structures. • Project manager implementation Pims-Particle-Quark for investment grade and money market trading books. Managing the migration of these books to peoplesoft general ledger and setting up tools and processes to integrate… Show more Reporting P&L of the investment grade, repo, money market and exotic derivatives trading books to the trader and front office management. • Comprehensive knowledge of investment banking products like interest rate swaps, bonds, repos, deposits and exotic structures. • Project manager implementation Pims-Particle-Quark for investment grade and money market trading books. Managing the migration of these books to peoplesoft general ledger and setting up tools and processes to integrate these books in the daily business • Daily reporting of P&L to traders and front office management, monthly reporting from the general ledger • Building tools in visual basic, excel and access to enhance daily and monthly processes Show less



Stroeve Effectenbank

• Intern Derivatives reseach

  • 2003 - 2004

  Research on the relationship of historical volatility with implied volatility in European equty options.