Former Main Research Areas (before 2013)
Research Area 1
Mathematical and empirical finance , Financial Econometrics, Probaility and Statistics
Research fields in mathematical and empirical finance:
(i) modeling financial time series: asset returns time series models with heavy-tailed innovations, exhibiting clustering of the volatility, and short and long range dependence;
(i) pricing and hedging in volatile markets;
(ii) portfolio optimization;
(iii) risk management (market, credit and operational risk management);
(iv) asset liability management.
RESEARCH ACTIVITIES, 2006- 2007
General Research Projects:
(i) Finance and Econometrics: non-Gaussian models in mathematical and empirical finance, financial econometrics, factor models for asset returns, 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, Bayesian methods in finance, tempered stable processes in finance, credit serivatives and CDOs, modeling high-frequency data;
(ii) Probability and Statistics: general stability and ill-posed problems in stochastic modeling.
In 2006-2007, the work on these projects was based on a joint collaborative research with Frank J. Fabozzi, (Yale University, School of Management), G.Samorodnitsky (Cornell University), Stefan Mittnik (Ludwig-Maximilians-University of Munchen), Doug Martin (Washington University), Stoyan Stoyanov (FinAnalytica) , John Hsu, Anna Chernobai, Mike Grebeck, Biliana Bagasheva , Deszong Wang (UCSB), Christian Menn, Stefan Trueck, Almira Biglova, Teo Jasic , Markus Hoechstoetter, Nadezhda Safronova, Aaron Kim (University of Karlsruhe), Marida Bertocchi, Rosella Giacometti, Sergio Ortobelli and Michele-Leonardo Bianchi (University of Bergamo), Haim Shalit (Ben-Gurion University ),Lev Klebanov (Charles University), Tomasz Kozubowski, (University of Nevada, Reno), Marco Moscadelli, (Banking Supervision Department, Bank of Italy), Krzysztof Burnecki, and Rafal Weron (Wroclaw University of Technology, Poland), Carlo Marinelli (University of Bonn ) and others, see http://www.statistik.uni-karlsruhe.de/292.php
Research Area 2
Statistics
multivariate statics for qualitative attributes, harmonic and canonical analysis of stochastic processes (Prof. Egle)
quality control, logistics, realiability theory, statistical process control, data mining, artificial intelligence, machine learning related with statistical procedures (Prof. Bol, apl. Prof. Nakhaeizadeh)
Technical Reports 2010-2012
- Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca: Measuring Financial Risk and Portfolio Optimization with a Non-Gaussian Multivariate Model
- Dr. Michael Stein, Prof. Dr. Svetlozar T. Rachev: Measuring Unintended Indexing in Sector ETF Portfolios
- Young Shin Kim, Frank J. Fabozzi, Zuodong Lin, Svetlozar T. Rachev: Option pricing and hedging under a stochastic volatility Levy process model
- 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
2008-----------------------------------------------------------------------
- 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
2007-----------------------------------------------------------------------
- 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
2006-----------------------------------------------------------------------
- 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
2005-----------------------------------------------------------------------
- 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
2004-----------------------------------------------------------------------
- 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