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.
