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

Banque de France
LinkedIn
Twitter

TEACHING

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

    • Quantitative Portfolio Management course (FINM 32225)

    TOPIC   SLIDES   R CODE   DATA   EXERCISES   CORRECTIONS
    Portfolio: risk, return and diversification   Risk & diversification   Diversification        
    Portfolio construction: the mean variance framework   The mean variance framework   Feasible set   to come   Mean variance exercises   Mean variance corrections
    The Capital Asset Pricing Model   The Capital Asset Pricing Model   Markowitz optimizer       CAPM exercises   CAPM corrections
    Implementation of the Markowitz framework:
    resampling, shrinkage, and the Black Litterman Model    		   Resampling, shrinkage and
    the Black Litterman model     		  Resampled Frontier   to come   Black Litterman exercises   Black Litterman corrections
    Index linked portfolio management   Index linked management   Black Litterman   to come    
    Benchmarks & performance attribution   Benchmarks & Performance
    Attribution     		  Markowitz closed form solution       Benchmarks exercises   Benchmarks corrections
    Portfolio insurance techniques   Constant Proportion Portfolio
    Insurance    		   CPPI   to come   CPPI exercises   CPPI corrections
    Style Investing   Style Investing      
    Exchange-Traded Funds - replication   ETFs replication techniques      
    Exchange-Traded Funds - trading   ETFs trading      

    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

  • 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
    Calibration of Risk Neutral Densities from Option prices   Risk Neutral Densities   From Options on rates futures   to come
    Risk Neutral Densities from Options on Bond futures       From 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    


    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

    		•