Frédéric Abergel is a senior quantitative analyst in the Quantitative Research Group. He works on the statistical and mathematical analysis of investment strategies. His contributions include 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. He has initiated a research project on the supply chain and its connection to financial markets.
Frédéric joined BNPP AM in 2018 from Centrale Supélec, where he was chair of quantitative finance, a research group that he founded in 2008. Between 1996 and 2007, Frédéric was a senior quant and/or a quant group manager at BNP Paribas CIB, CAI Cheuvreux, Barclays Capital, Natixis CIB.
His early career was as a researcher in mathematics at Université Paris Saclay. Frédéric graduated from Ecole Normale Supérieure (Paris) and holds a PhD in mathematics from Université Paris Saclay.
He is based in Paris.
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