Frederic Boyer | Head of Quantitative Research - Global Credit
Citadel LLC

Frederic Boyer, Head of Quantitative Research - Global Credit, Citadel LLC

Frederic Boyer is head of Quantitative Research for Global Credit at Citadel. In this role, he manages a team of researchers that are in charge of all mathematical and statistical modeling of risk and returns of linear and non-linear securities traded by the Global Credit business, including convertible and corporate bonds, credit default swaps, equities and equity options. 

Mr. Boyer joined the firm in 2002 as a quantitative researcher. He was appointed to his current role in 2006. Prior to joining Citadel, he worked as an economist for Banque de France. 

Mr. Boyer graduated from the Ecole Polytechnique in Paris and holds a masters of science from ENSTA and the University of Paris. 

Appearances:



Day 2 @ 16:00

The art of backtesting – techniques & war stories from practitioners

Plenary
  • Filtering published research – appropriate benchmarks, survivorship bias, transaction costs, robustness over time, regime changes, scalability
  • Dealing with data – gathering and trusting data, identifying bad records, techniques for dealing with missing data, alignment and synchronization, data adjustment (dividends, splits, future rolls, etc.)
  • Making sensible assumptions – borrow costs, order types and transaction costs (timeliness and slippage, commissions, scalability)
  • Correctness – model complexity, reducing parameters, cross validation
  • Model robustness & stability – over time, sensitivity to parameters, regime changes, overcrowding
  • Performance measurement – appropriate use of various metrics, importance of drawdown data
  • Going live – walk forward testing, learning from live results, improving execution

back to speakers