WilliamArrata

Welcome to my website! I am an Asset Liability Manager in the Financial Directorate of Banque de France. Previously, I held positions such as Fixed Income portfolio manager in their Reserves Management Division, implementation of the Public Sector Purchase Program (PSPP) of the ECB, and policy economist. I teach Quantitative Portfolio Management in the Master in Finance of ESSEC Business School in Paris. I have also coauthored academic research on the quantitative assessment of unconventional monetary policies in the euro area. I hold a Master Degree in Actuarial Science from ISUP (Sorbonne Université), an MRes in financial economics from Université Paris I Panthéon Sorbonne and a MsC in Management from HEC Paris. I am a CFA Charterholder and an associate Actuary.

Papers and presentations on this website reflect my sole opinions and those of my coauthors, and do not express the views of my institution

PROFESSIONAL EXPERIENCES


PUBLICATIONS


TEACHING


TOPIC SLIDES CODE DATA EXERCISES CORRECTIONS
Portfolio: risk, return and diversification risk_diversification_new.pdf to come to come    
Portfolio construction: the mean variance framework mean_variance.pdf to come to come FINM32225_exercises_1_to_13.pdf FINM32225_exercises_1_to_13_correction.pdf
The Capital Asset Pricing Model CAPM_test.pdf to come to come FINM31261_exercises_14_to_17.pdf FINM31261_exercises_14_to_17_corrections.pdf
Implementation of the Markowitz framework:
resampling, shrinkage, and the Black Litterman Model
Black_Litterman.pdf to come to come FINM31261_exercises_18_to_22.pdf FINM31261_exercises_18_to_22_corrections.pdf
Index linked portfolio management Index-linked.pdf to come to come    
Benchmark & Performance Attribution Benchmarks_performance_attribution.pdf to come to come FINM31261_exercises_23_to_26.pdf FINM31261_exercises_23_to_26_corrections.pdf
Portfolio insurance techniques CPPI.pdf to come to come FINM31261_exercises_27_to_29.pdf FINM31261_exercises_27_to_29_corrections.pdf
Style Investing style_investing_new.pdf        
Exchange-Traded Funds part 1 ETF_structuration.pdf        
Exchange-Traded Funds part 2 ETF_trading.pdf        
Final Exam April 2025 FINM32225_final_exam_April_2025.pdf FINM32225_final_exam_April_2025_correction.pdf      
Resit Exam June 2025 FINM32225_exam_rattrapage_June_2025.pdf FINM32225_correction_exam_rattrapage_June_2025.pdf      

OTHER TOPICS IN QUANTITATIVE FINANCE


TOPIC SLIDES CODE
Calibration of Risk Neutral Densities RND_div_paying_short_version.pdf to come
Calibration of Nelson Siegel Svensson Model RND.pdf to come
Deciphering futures indices Dealing_with_index_futures.pdf to come
The Libor Market Model Libor_Market_Model.pdf  
Actuarial Master Thesis Defense Presentation W_Arrata_CEA_soutenance_12_09_22.pdf