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

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• Since 2019 $~~~~~~~~~~~$ Banque de France, Financial Directorate, Asset Liability Manager
• 2013-2019 $~~~~~~~~~~~$ Banque de France, Markets Directorate, Fixed Income Portfolio Manager
• 2008-2013 $~~~~~~~~~~~$ Banque de France, Financial Stability Directorate, Policy Economist

PUBLICATIONS

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• William Arrata, Benoit Nguyen, Imène Rahmouni-Rousseau, Miklos Vari (2020), The scarcity effect of QE on repo rates: Evidence from the euro area, Journal of Financial Economics, Volume 137, Issue 3, Sept 2020
  https://www.sciencedirect.com/science/article/abs/pii/S0304405X20301240?via%3Dihub
• William Arrata, Benoit Nguyen (2017), Price Impact of bond supply shocks: Evidence from the Eurosystem’s asset purchase program, Banque de France Working Paper # 623
  https://blocnotesdeleco.banque-france.fr/sites/default/files/medias/documents/document-de-travail-623_2017-03.pdf
• William Arrata, Alejandro Bernales, Virginie Coudert (2013), The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps, SUERF, 50 Years of Money and Finance: Lessons and Challenges, Chapter 13 50y_ch13_bernales_et_al.pdf

TEACHING

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• 2014-today $~~~~~~~~~~$ ESSEC Business School, Master in Finance, Quantitative Portfolio Management (FINM 32225)

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

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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