Frédéric Abergel, PhD, is a senior quantitative analyst in the Quantitative Research Group at BNP Paribas Asset Management.
As a senior member of the QRG research lab, Frédéric has several ongoing projects pertaining to the statistical and mathematical analysis of investment strategies. His contributions are manifold: the design of a new performance attribution methodology for multi-factorial investment strategies; the design of a new factor-based risk model for multi-factorial strategies; the enhancement of long-only portfolio construction.
More recently, Frédéric has initiated a research project on the supply chain and its connection to financial markets.
Frédéric joined BNPP AM in December 2018 from Centrale Supélec, where he was a full professor leading the chair of quantitative finance, a research group that he founded in 2008 and that quickly gained an international recognition in the study of electronic markets and high frequency finance. Between 1996 and 2007, Frédéric was a senior quant and/or a quant group manager in several investment banks: BNP Paribas CIB, CAI Cheuvreux, Barclays Capital, Natixis CIB.
His early career was as a researcher in Mathematics with the CNRS at Université Paris Saclay.
Frédéric graduated from Ecole Normale Supérieure (Paris) and holds a PhD in Mathematics from Université Paris Saclay. He has over 25 years experience in the quantitative analysis and mathematical modelling of financial markets. He is based in Paris.
This paper presents a novel, practical approach to risk management for multifactor equity investment strategies.
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.