Technical Reports 2010
- Paul Weskamp and Markus Höchstötter: CHANGE POINT ANALYSIS AND REGIME SWITCHING MODELS
- Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi: A comparison of the Lee-Carter model and R-ARCH model for forecasting mortality rates
- Michael Schmitz, Markus Höchstötter, Svetlozar T. Rachev: CDO Correlation Smile/Skew in One-Factor Copula Models: An Extension with Smoothly Truncated alpha-Stable Distributions
- Michael Stein, Svetlozar T. Rachev, Stoyan V. Stoyanov: Broad Market Risk for Sector Fund of Funds:A Copula-Based Dependence Approach
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: Computational aspects of risk estimation in volatile markets: A survey, 2010
- Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Ivan Mitov, Frank J. Fabozzi: Time Series Analysis for Financial Market Meltdowns, 2010
- Michael Stein, Svetlozar T. Rachev, Stoyan V. Stoyanov: Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach, 2010
- Matthias Scherer, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi: A FFT-based approximation of tempered stable and tempered infinitely divisible distributions, 2010
- Omid Rezania, Svetlozar T. Rachev, Edward Sun, Frank J. Fabozzi: Analysis of the Intraday Effects of Economic Releases on the Currency Market, 2010
- Michael Stein, Svetlozar T. Rachev: Flow-Induced Redemption Costs in Funds of Funds, 2010
- Oscar Carchano, Svetlozar T. Rachev, Young Shin Kim, Edward W. Sun, Frank J. Fabozzi: Forecasting VaR in Spot and Futures Equity Markets, 2010
- Matthias Scherer, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi: Minimally Cross-Entropic Conditional Density: A Generalization of the GARCH Model, 2010
- Jan Fraenkle, Svetlozar T. Rachev, Christian Scherrer: Market Impact Measurement of a VWAP Trading Algorithm, 2010
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: Computational aspects of risk estimation in volatile markets: A survey, 2010
- Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev, Frank J. Fabozzi: Calibrating affine stochastic mortality models using insurance contracts premiums, 2010
- Gandolf R. Finke, Mahender Singh, Svetlozar T. Rachev: Operational Risk Quantification – A Risk Flow Approach, 2010
- L.B. KLEBANOV, A.V. KAKOSYAN, S.T. RACHEV, G. TEMNOV: ON A CLASS OF DISTRIBUTIONS STABLE UNDER RANDOM SUMMATION, 2010
Technical Reports 2009
- Anna Chernobai, Christian Menn, Svetlozar T. Rachev, Stefan Trück: Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study, 2009
- Stoyan V. Stoyanov,Svetlozar T. Rachev, Frank J. Fabozzi: Sensitivity of portfolio VaR and CVaR to portfolio return characteristics, 2009
- Almira Biglova,Sergio Ortobelli, Svetlozar T. Rachev, Stoyan Stoyanov: A Note on the Impact of non Linear Reward and Risk Measures, 2009
- Anna Chernobai,Christian Menn, Svetlozar T. Rachev, Stefan Trueck: Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study, 2009
- Vygantas Paulauskas, Svetlozar Rachev, Frank J. Fabozzi, Comment on \Weak Convergence to a Matrix Stochastic Integral with Stable Processes", 2009
- Matthias Scherer, Svetlozar T. Rachev, Young Shin KimFrank J. Fabozzi: A FFT-based approximation of tempered stable and tempered infinitely divisible distributions, 2009
- Christoph Moeller, Svetlozar T. Rachev, Frank J. Fabozzi: Strategic deployment of balancing energy in the German electricity market, 2009
- Christoph Moeller, Svetlozar T. Rachev, Frank J. Fabozzi: Balancing energy strategies in electricity portfolio management, 2009
- Christian Scherrer, Svetlozar T. Rachev, Young Shin Kim, Michael Feindt, Frank Fabozzi: Using a neural network approach for backtesting methodologies for estimating and forecasting asset risk, 2009
- Michael Stein, Svetlozar T. Rachev, Frank J. Fabozzi: Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach, 2009
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: Metrization of stochastic dominance rules, 2009
- Almira Biglova, Sergio Ortobelli, Svetlozar T. Rachev, Frank J. Fabozzi: Modeling, Estimation, and Optimization of Equity Portfolios withApproach Heavy-tailed Distributions, 2009
- Wei Sun, Svetlozar T. Rachev, Ye Chen, Frank J. Fabozzi: Measuring Intra-Daily Market Risk: A Neural Network Approach, 2009
- Anna Serbinenko, Svetlozar T. Rachev: A New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering, 2009
- Anna Serbinenko, Svetlozar T. Rachev: Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility, 2009
- Stoyan Valchev, Svetlozar T. Rachev, Young S. Kim and Frank J. Fabozzi: Conditional Valuation of Barrier Options with Incomplete Information
- Christoph Moeller, Svetlozar T. Rachev, Young S. Kim and Frank J. Fabozzi: Innovation processes in logically constrained time series, 2009
- Review with Prof. Rachev: FEATURE - Assessing the risk of a cataclysm, (REUTERS-May 25), english version, 2009
- Review with Prof. Rachev: FACTBOX - Tools to predict market shocks (REUTERS-May 24), english version, 2009
- Review with Prof. Rachev: The lice thing wasn't on anybody's radar (May 3, Page 31 - F.A.Z.), english version, 2009
- Review with Prof. Rachev: The lice thing wasn't on anybody's radar (May 3, Page 31 - F.A.Z.), german version, 2009
- Svetlozar T. Rachev, Michael Stein, Wei Sun: Copula Concepts in Financial Markets, 2009
- Michael Stein and Svetlozar T. Rachev: Style Neutral Funds of Funds: Diversification or Deadweight?, 2009
- Michael Stein, Svetlozar T. Rachev, Stoyan Stoyanov: R Ratio Optimization with Heterogeneous Assets using Genetic Algorithm, 2009
- Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi: Computing VaR and AVaR In Infinitely Divisible Distributions, 2009
- Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi: Tempered stable and tempered infinitely divisible GARCH models, 2009
Technical Reports 2004-2008
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- Valeria Caviezel, Sergio Ortobelli, Prof. Svetlozar (Zari) T.Rachev, SEMIPARAMETRIC ESTIMATORS FOR HEAVY TAILED DISTRIBUTIONS
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: Construction of probability metrics on classes of investors, 2008
- Sergio Ortobelli, Svetlozar T. Rachev, Haim Shalit, Frank J. Fabozzi: Practical Portfolio Selection Problems Consistent With A Given Preference Ordering
- Ekaterina N. Sereda, Svetozar T. Rachev, Efim M. Bronshtein, Wei Sun, Stoyan Stoyanov, Frank J. Fabozzi: Distortion Risk Measures in Portfolio Optimization
- Georgi K. Mitov, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi: Barrier Option Pricing by Branching Processes
- Wei Sun, Svetlozar Rachev, Ye Chen, Frank J. Fabozzi: Measuring Intra-Daily Market Risk: A Neural Network Approach
- Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev; Frank J. Fabozzi: Stochastic models for risk estimation in volatile markets: A survey
- Sergio Ortobelli, Almira Biglova, Prof. Svetlozar (Zari) T.Rachev, Stoyan Stoyanov: PORTFOLIO SELECTION BASED ON A SIMULATED COPULA , 2008
- Amir Safari, Wei Sun, Detlef Seese, Svetlozar Rachev: REALIZED VOLATILITY AND CORRELATION ESTIMATORS UNDER NON-GAUSSIAN MICROSTRUCTURE NOISE, 2008
- Ivan K. Mitov, Svetlozar T. Rachev, Frank J. Fabozzi: APPROXIMATION OF AGGREGATE AND EXTREMAL LOSSES WITHIN THE VERY HEAVY TAILS FRAMEWORK
- Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin K, Frank J. Fabozzi: Tempered infinitely divisible distributions and processes
- Rosella Giacometti, Svetlozar T. Rachev, Vito Sessa, Luca Musicco: Funds of Hedge Funds: a Comparison among Different Portfolio Optimization Models implementing the Zero-Investment Strategy
- Takashi Kanamura, Svetlozar T. Rachev, Frank J. Fabozzi: The Application of Pairs Trading to Energy Futures Markets
- Audrius Kabasinskas, Svetlozar T. Rachev, Leonidas Sakalauska, Wei Sun, Igoris Belovas: ALPHA-STABLE PARADIGM IN FINANCIAL MARKETS
- Almira Biglova, Prof. Dr. Svetlozar Rachev, Stoyan Stoyanov, Sergio Ortobelli: Analysis of the Factors Influencing Momentum Profits
- Prof. Dr. Svetlozar Rachev, Dr. Wei Sun, Prof. Dr. Frank J. Fabozzi, A New Solution for Finance -Stable Family Models, 2008
- Svetlozar T. Rachev, Young Shin Kim, Dong Myung Chung, Michele Leonardo Bianchi: Modified Tempered Stable Distribution, GARCH Models and Option Pricing, 2008
- Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim, Frank J. Fabozzi: Tempered stable distributions and processes in finance: numerical analysis, 2008
- Y.S. Kim, S.T. Rachev, D.M. Chung, M.L. Bianchi: A Modifed Tempered Stable Distribution with Volatility Clustering, 2008
- Michael Stein, Svetlozar T. Rachev, Wei Sun: The World of Funds of Funds, 2008
- Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, Frank J. Fabozzi: Risk Management and Portfolio Optimization for Volatile Markets
- R. Giacometti, Svetlozar Rachev, Anna Chernobai, Marida Bertocchi: Aggregation Issues in Operational Risk, 2008
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: Construction of probability metrics on classes of investors
- Jochen Papenbrock, Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi: Price Calibration and Hedging of Correlation Dependent Credit Derivatives using a Structural Model with alpha-Stable Distributions
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- Steftcho Dokov, Stoyan V. Stoyanov, Svetlozar T. Rachev: Computing VaR and AVaR of Skewed-T Distribution
- Jan S. Henneke, Svetlozar T. Rachev, Frank J. Fabozzi: MCMC methods for the estimation of MS-ARMA-GARCH Models
- Almira Biglova, Takashi Kanamura, Svetlozar T. Rachev, Stoyan Stoyanov: "Modeling, Risk Assessment and Portfolio Optimization of Energy Futures", 2007
- Wei Sun, Svetlozar Rachev, Frank J. Fabozzi: "A New Approach of Using Levy Processes for Determining High-Frequency Value at Risk Predictions", 2007
- Stoyan V. Stoyanov, Svetlozar T. Rachev: "Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns", 2007
- Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi: "Probability metrics applied to problems in portfolio theory", 2007
- Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi: "Financial Market Models with Levy Processes and Time-Varying Volatility", 2007
- S. Kring, Svetlozar T. Rachev, M. Hoechstoetter, Frank J. Fabozzi: "Multi-Tail Elliptical Distributions", 2007
- S. Kring, Svetlozar T. Rachev, M. Hoechstoetter, Frank J. Fabozzi: "Composed and Factor Composed Multivariate GARCH Models", 2007
- S.T. Rachev, S.V.Stoyanov : "Asymptotic distribution of the sample average value-at-risk", 2007
- S. Ortobelli, S. Rachev, H. Shalit, F. Fabozzi, "Orderings and Probability Functionals Consistent with Preferences", 2007
- Svetlozar T. Rachev, Young Shin Kim, Michele Leonardo Bianchi, Frank J. Fabozzi: "A New Tempered Stable Distribution and Its Application to Finance", 2007
- A. Biglova, S. Rachev, "Portfolio Performance Attribution", 2007
- Svetlozar T. Rachev, F. Fabozzi, S. Stoyanov: "Probability metrics with applications finance", 2007
- S. Kring, S. T. Rachev, M. Höchstötter, F. Fabozzi, "Estimation of Alpha-Stable Sub-Gaussian Distributions for Asset Returns", 2007
- S. T. Rachev, S. Ortobelli, S. Stoyanov, F. J. Fabozzi, A. Biglova,"Desirable Properties of an Ideal Risk Measure in Portfolio Theory", 2007
- R. Giacometti, S. Rachev, A. Chernobai, M. Bertocchi, G. Consigli, "Practical Operational Risk", 2007
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- Svetlozar T. Rachev, Anna Chernobai: "Applying Robust Methods to Operational Risk Modeling", 2006
- C. Marinelli, S. dÂ’Addona, S. T. Rachev: "A comparison of some univariate models for Value-at-Risk and expected shortfall", 2006
- A. Chernobai, C. Menn, Svetlozar T. Rachev, S. Trück, M. Moscadelli: "Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures", 2006
- S. Stoyanov, S. Rachev, S. Ortobelli, F. Fabozzi, "Relative deviation metrics and the problem of strategy replication", 2006
- Interview with S. Rachev and S. Mittnik, FAZ , "Stable Models in Finance", 2006
- S. Ortobelli, Svetlozar T. Rachev, H. Shalit, F. Fabozzi: "Risk Probability Functionals and Probability Metrics Applied to Portfolio Theory", 2006
- C. Marinelli, S. d'Addona and S.T. Rachev, "Comparison of some univariate models for Value-at-Risk and expected shortfall",2006
- W. Sun, S. Rachev, F. Fabozzi, and P. Kalev, "Fractals in Trade Duration: Capturing Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration", 2006
- W. Sun, S.T. Rachev, F. Fabozzi, P- Kalev, "Fractals in Trade Duration: Capturing Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration", 2006
- Dezhong Wang, Svetlozar T. Rachev, Frank J. Fabozzi; "Pricing of Credit Default Index Swap Tranches with One-Factor Heavy Tailed Copula Models", 2006
- Sergio Ortobelli, Svetlozar Rachev, Frank Fabozzi; "Risk Management and Dynamic Portfolio Selection with stable paretian Distibutions", 2006
- Wei Sun, Svetlozar Rachev, Frank J. Fabozzi; "Long-Range Dependence, Fractal Processes and Intra-Daily Data", 2006
- Dezhong Wang, Svetlozar T. Rachev, Frank J. Fabozzi; "Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research", Oct 2006
- Young Shin Kim, Svetlozar T. Rachev, Dong Myung Chung, "The Modified tempered Stable Distribution, Garch Models and option Pricing", 2006
- S. Rachev, R.D. Martin, B. Racheva, S. Stoyanov; "Stable ETL Optimal Protfolios & Extreme Risk Management", 2006
- W. Sun, S. Rachev, F. Fabozzi, P. Kalev,"Unconditional Copula-based Simulation of Tail Dependence for Co-movement of International Equity Markets", 2006
- Rachev-Mittnik Interview for Journal of Risk Management (die Zeitschrift RISIKOMANAGER / Bank Verlag), englisch, 2006
- Rachev-Mittnik Interview for Journal of Risk Management (die Zeitschrift RISIKOMANAGER / Bank Verlag), deutsch, 2006
- S. Ortobelli, S. Rachev, H. Shalit, F. Fabozzi, "The Theory of Orderings and Risk Probability Functionals", 2006
- F. Lamantia, S. Ortobelli, S. Rachev, "An Empirical Comparison among VaR Models and Time Rules with Elliptical and Stable Distributed Returns", 2006
- W. Sun,S. Rachev, F. Fabozzi, "Fractals or I.I.D., Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Volatility", 2006
- F. Lamantia, S. Ortobelli, S. Rachev, "VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns", 2006
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- Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi: "Fat-tailed and Skewed Asset Return Distributions", 2005
- S. Stoyanov, A. Biglova, S. T. Rachev, F.J. Fabozzi, "An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks", 2005
- A. Chernobai, C. Menn, S. T. Rachev, S. Trück, "A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses", 2005
- S. T. Rachev, T. Jasic, A. Biglova, F. Fabozzi, "Risk and Return in Momentum Strategies: Profitability from Portfolios based on Risk-Adjusted Stock Ranking Criteria", 2005
- S. Trück and S.T. Rachev, "Credit Portfolio Risk and PD Confidence Sets through the Business Cycle", 2005
- C. Mugele, S.T. Rachev and S. Trück, "Stable Modeling of different European Power Markets", 2005
- S. Trück, S. Harpaintner and S.T. Rachev, "A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables", 2005
- A. Chernobai, C. Menn, S. T. Rachev, S. Trück, "Estimation of Operational Value-at-Risk with Minimum Collection Thresholds", 2005
- A. Chernobai, K. Burnecki, S.T. Rachev, S. Trück and R. Weron, "Modelling catastrophe claims with left-truncated severity distributions ", 2005
- M. Höchstötter, F.J. Fabozzi and S.T. Rachev, "Distributional Analysis of the Stocks Comprising the DAX 30", 2005
- S. Ortobelli, S.T. Rachev, S. Stoyanov, F.J. Fabozzi, and A. Biglova, "The Proper Use of Risk Measures in Portfolio Theory", 2005
- A. Chernobai, S.T. Rachev, F.J. Fabozzi, "Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples", 2005
- C. Menn, S.T. Rachev, "Smoothly Truncated Stable Distributions, GARCH-Models and Option Pricing", 2005
- Lev B.Klebanov, Tomasz J. Kozubowski, and Svetlozar T.Rachev, "Ill-Posed Problems in Probalility and Stability of Random Sums", 2005
- Nadezhda Safronova, Isabella Huber, and Svetlozar T. Rachev, "Portfolio Optimization: Distributional Approach", 2005
- Svetlozar T. Rachev, Anna Chernaboi, Christian Menn, "Empirical Examination of Operational Loss Distributions", 2005
- Svetlozar T. Rachev, Florian Hausen, "Multifactor Models in Hedge Fund and Fund of Funds Management", 2005
- Jorge L. Hernández and Svetlozar T. Rachev, "A General Framework for Term Structure Models Driven by Lévy Processes", 2005
- Jorge L. Hernández and Svetlozar T. Rachev, "Construction of Lévy Drivers for Financial Models", 2005
- A. Chernobai, K. Burnecki, S.T. Rachev, S. Trück and R. Weron, "Modelling catastrophe claims with left-truncated severity distributions " (updated version), 2005
- S.T. Rachev, T.Jasic, S. Stoyanov, and F.J. Fabozzi, "Momentum Strategies using Reward-Risk Stock Selection Criteria", 2005
- S. T. Rachev, S. Ortobelli, S. Stoyanov, F. Fabozzi, "Desirable Properties of an Ideal Risk Measure in Portfolio Theory", 2005
- A. Chernobai, C. Menn, S.T. Rachev, and S. Trück, "Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Thresholds", 2005
- N. Lehnert, S.T. Rachev, and S. Trück, "Implied Correlations in CDO Tranches", 2005
- S. T. Rachev, S. V. Stoyanov, C. Wu, and F. J. Fabozzi, "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange", 2005
- S. T. Rachev, S. Trueck , "Changes in Migration Matrices and Credit VaR - a new Class of Difference Indices", 2005
- M. Prokopczuk, S. T. Rachev, Gero Schindlmayr, and S. Trueck, "Quantifying Risk in the Electricity Business: A RAROC-based Approach", 2005
- R. Giacometti, M. Bertocchi, S.T. Rachev and F.J. Fabozzi, "Stable distributions in the Black-Litterman approach to the asset allocation", 2005
- A. Chernobai and S.T. Rachev, "Applying Robust Methods to Operational Risk Modeling", 2005
- M. Moscadelli, A. Chernobai, Svetlozar T. Rachev: "Treatment of incomplete data in the field of operational risk: the effects on parameter estimates, EL and UL figures", 2005
- J. Henneke and S.T. Rachev, "MCMC based Estimation of MS-ARMA-GARCH Models", 2005
- B. Bagasheva, S. Rachev, J. Hsu and F. Fabozzi, "Bayesian Applications to the Investment Management Process", 2005
- S. Stoyanov, S.T. Rachev, F. Fabozzi, "Optimal Financial Portfolios", 2005
- Svetlozar Rachev, Teo Jasic, Stoyan Stoyanov, Frank J. Fabozzi; "Momentum Strategies Based on Reward-Risk Stock Selection Criteria", 2005
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- M. Bertocchi, R. Giacometti, S. Ortobelli, S. T. Rachev, "The Impact of Different Distributional Hypothesis on Returns in Asset Allocation", 2004
- M. Prokopczuk, S. T. Rachev, S. Trück, "Quantifying Risk in the Electricity Business: A RAROC-based Approach", 2004
- A. Biglova, F. J. Fabozzi, T. Jasic, S. T. Rachev, "Profitability of momentum strategies: Application of novel risk/return ratio stock selection criteria", 2004
- Arne Benzin, Stefan Trück, Svetlozar T. Rachev "Approaches to Credit Risk in the New Basel Capital Accord", 2004
- Christian Menn, Svetlozar T. Rachev: "A new Class of Probability Distributions and its Application to Finance", 2004
- Yongli Zhang, Svetlozar Rachev: "Risk Attribution and Portfolio Performance Measurement-An Overview", 2004
- Svetlozar T. Rachev, S. TrÄuck, M. Laub: "The Term Structure of Credit Spreads and Credit Default Swaps - an empirical investigation", 2004