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
- 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
- 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
- 2014-today $~~~~~~~~~~$ ESSEC Business School, Master in Finance, Quantitative Portfolio Management (FINM 32225)
OTHER TOPICS IN QUANTITATIVE FINANCE