WILLIAM ARRATA

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 Master in Science from HEC Paris. I am also 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

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TEACHING

  • 2014 - today     ESSEC Business School - Master in Finance (MiF)

    • Quantitative Portfolio Management course (FINM 32225)

    GENERAL THEME   TOPIC   SLIDES   R CODE   DATA   EXERCISES   CORRECTIONS
    Modern Portfolio Theory   Portfolio: risk, return and diversification   Risk & diversification   Diversification and Feasible Set        
      Portfolio construction: the mean variance framework   The mean variance framework   Markowitz optimizer   to come   Mean variance exercises   Mean variance corrections
      The Capital Asset Pricing Model   The Capital Asset Pricing Model   Correlation coefficients and optimal portfolios       CAPM exercises   CAPM corrections
      Implementation of the Markowitz framework:
    resampling, shrinkage, and the Black Litterman Model    		   Resampling, shrinkage and
    the Black Litterman model     		  Resampled Efficient Frontier   to come   Black Litterman exercises   Black Litterman corrections
      Portfolio insurance techniques   Constant Proportion Portfolio
    Insurance    		   CPPI   to come   CPPI exercises   CPPI corrections
    Index Funds and Exchange Traded Funds   Mean Variance framework applied to Indexing   Index linked portfolios   Shrunk estimate of covariance matrix      
      Exchange-Traded Funds - replication   ETFs replication techniques   the Black Litterman Model    
      Exchange-Traded Funds - trading   ETFs trading      
    General portfolios concepts   Investment styles   Investment Styles      
      Benchmarks & performance attribution   Benchmarks & Performance
    Attribution     		          Benchmarks exercises   Benchmarks corrections
    Exams   Final exam MiF - April 2025   Final Exam   Correction    
      Resit Exam MiF - June 2025   Resit Exam   Correction    

    ACADEMIC 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

  • 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

    • NON ACADEMIC PUBLICATIONS

  • William Arrata, Thibaut Gentil (2025), Le partage des revenus de la politique monétaire au sein de l'Eurosystème, Banque de France Bulletin No. 260, article 6, Oct 2025

  • David Adam, William Arrata, Thibaut Gentil, Nicolas Maggiar (2023), Central bank asset purchase programmes: how is money created and then destroyed?, Banque de France Bulletin No. 248, article 1, Sept 2023

  • Under BIS Markets Committee (2019), Large central bank balance sheets and market functioning, Markets Committee Papers # 11

  • 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

    • OTHER TOPICS IN QUANTITATIVE FINANCE

    TOPIC   SLIDES   R CODE   DATA
    Parametric calibration of Risk Neutral Densities from Option prices   Risk Neutral Densities   Options on rates futures   to come
        Options on Bond futures    
    Calibration of a Nelson Siegel Svensson model   Nelson Siegel Svensson   NSS on French curve   to come
    Deciphering indices of futures contracts   Indices of futures contracts   Futures indices    
    The Libor Market Model   LMM   calibration to come    
    Actuarial Master Thesis Defense presentation (in French)   Actuarial Master Thesis        


    CONFERENCES

    CONFERENCE   ROLE   TOPIC OF DISCUSSION   PROGRAMME   INTERVIEW
    Insurance Investor Live Europe | 2025 Summit, London, 24th and 25th September   Panelist in the Treasury Management and Financial Risk Forum   Treasury functions and capital: stress testing and scenario analysis to balance risk and reward   IILE 2025 Programme   Insurance Investor Magazine Interview


    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

  • 2007 - 2008      Société générale, Equity Derivatives Structuring

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