Svetlozar T. Rachev
Ph.D., Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering University of Karlsruhe, Germany
Education
M.Sc. in Mathematics, Sofia University, Faculty of Mathematics, July 1974, Thesis: "Reliability of Aging Systems."
Ph.D. in Mathematics, Lomonosov University (Moscow), Faculty of Mechanics and Mathematics, Department of Probability. October 12, 1979, Thesis: "The Structure of The Metrics in The Space of Random Variables and Their Distributions."
Doctor of Science (Dr. Sci.) in Mathematics, Steklov Mathematical Institute, Department of Probability, Moscow, April 10, 1986. Thesis: "Probability Metrics and Their Applications to The Stability Problems for Stochastic Models."
Currently Prof. Svetlozar (Zari) Rachev is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California, Santa Barbara in the Department of Statistics and Applied Probability.
He has published six monographs and more than 230 research articles. His research areas include mathematical and empirical finance, econometrics, probability, and statistics. He is a Fellow of the Institute of Mathematical Statistics, Elected Member of the International Statistical Institute, Foreign Member of the Russian Academy of Natural Science, and holds an honorary doctorate degree from St. Petersburg Technical University. To date, he has supervised over twenty doctoral students in the areas of probability and finance.
His current research interests in the area of mathematical and empirical finance include:
1. modeling financial time series: asset returns time series models with heavy-tailed innovations, exhibiting clustering of the volatility, short and long range dependence;
2. pricing assets and liabilities;
3. rtfolio optimization;
4. risk management (market, credit and operational risk management)
5. asset liability management. Professor Rachev is co-founder of Bravo Risk Management Group specializing in financial risk-management software. Bravo Group was recently acquired by FinAnalytica for which he currently serves as Chief-Scientist.
RESEARCH ACTIVITIES, 2003/2004
Research interests include: non-Gaussian models in mathematical and empirical finance, market and credit risk management, operational risk assessment and forecast, asset liability modeling, optimal choice of performance measures, momentum and risk-neutral strategies, statistical arbitrage, optimal portfolio theory for highly volatile markets, option pricing with stable GARCH-type processes for the underlying risk factors, statistical tests for CAPM and APT in the presence of heavy-tailed distributed financial returns. In 2003-2004, the work on these topics was a joint collaborative research with E.Schwartz (Anderson School of Management, UCLA), G.Samorodnitsky (Cornell University), Doug Martin (Washington University), Anna Chernobai and Mike Grebeck (UCSB), Christian Menn, Stefan Trueck, Isabella Huber and Almira Biglova (University of Karlsruhe), Sergio Ortobelli (University of Bergamo), Boryana Racheva-Jotova and Stoyan Stoyanov (FinAnalytica) and others.
OTHER PROFESSIONAL ACTIVITIES
Editor of Journal of Computational and Applied Mathematics, Mathematical Methods in Operations Research, Probability and Mathematical Statistics, Serdica and Computational Analysis and Applications, Journal of Pure and Appl. Mathematics, Journal of Applied Functional Analysis Refereed for Journal of Econometrics, Journal of Risk, Econometrica, Journal of Portfolio Management Instructor at the Fall 2003 and Winter2004 Freshman seminar with the course: Introduction to Mathematical Finance and Investments.
Chaired the Ph. D Committee of Yesim Tokat and Dylan D' Souza (Economics Department, UCSB) now at Vanguard and HSBC, respectively.
Monographs
1. Quantitative criteria for convergence of measures (with A. Kakosyan and L. Klebanov). Erevan, Ajastan Press, 1987, (in Russian).
2. Mathematical methods for construction for queueing models (with V. V. Kalashnikov). Moscow, Nauka, (in Russian) 1988, English transl., Wadsworth & Brooks/Cole Advanced Books, 1990.
3. Probability Metrics and the Stability of Stochastic Models. Wiley, Chichester,New York, 1991.
4. Mass Transportation Problems, Vol I: Theory (with L.Rüschendorf). Springer, New York, 1998.
5. Mass Transportation Problems, Vol II: Applications (with L. Rüschendorf). Springer, New York, 1999.
6. Stable Paretian Models in Finance (with S. Mitnik). John Wiley, Chechester, New York, 2000.
