Svetlozar (Zari) Todorov Rachev is a professor at Texas Tech University who works in the field of
mathematical finance, probability theory, and statistics. He is known for his work in probability metrics,
derivative pricing,
financial risk modeling, and
econometrics. In the practice of risk management, he is the originator of the methodology behind the flagship product of FinAnalytica.
In mathematical finance, Rachev is known for his work on application of non-
Gaussian models for risk assessment, option pricing, and the applications of such models in
portfolio theory.[3] He is also known for the introduction of a new risk-return ratio, the "
Rachev Ratio", designed to measure the reward potential relative to
tail risk in a non-Gaussian setting.[4][5][6]
In probability theory, his books on probability metrics and
mass-transportation problems are widely cited.[7]
FinAnalytica
Rachev's academic work on non-Gaussian models in mathematical finance was inspired by the difficulties of common classical Gaussian-based models to capture empirical properties of financial data.[3][4] Rachev and his daughter, Borjana Racheva-Iotova, established Bravo Group in 1999, a company with the goal to develop software based on Rachev's research on
fat-tailed models. The company was later acquired by FinAnalytica. The company has won the Waters Rankings "Best Market Risk Solution Provider" award in 2010, 2012, and 2015, and also the "Most Innovative Specialist Vendor" Risk Award in 2014.[8][9]
Rachev, S.T.; Kim, Y.; Bianchi, M.L.;
Fabozzi, F.J. (2011). Financial Models with Levy Processes and Volatility Clustering. New York: Springer.
ISBN978-0470482353.
Rachev, S.T.; Klebanov, Lev; Stoyanov, S.V.;
Fabozzi, F.J. (2013). The Methods of Distances in the Theory of Probability and Statistics. Springer.
ISBN978-1461448686.
Articles
Rachev, S.T.; Sengupta, A. (1993). "Laplace-Weibull mixtures for modelling price changes". Management Science. 39 (8): 1029–1038.
doi:
10.1287/mnsc.39.8.1029.
Mittnik, S.; Rachev, S.T. (1993). "Modeling asset returns with alternative stable distributions". Econometric Reviews. 12 (3): 261–330.
doi:
10.1080/07474939308800266.
Mittnik, S.; Paollela, M.; Rachev, S.T. (2000). "Diagnosing and treating the fat tails in financial returns data". Journal of Empirical Finance. 7 (3–4): 389–416.
doi:
10.1016/S0927-5398(00)00019-0.
Bierbrauer, M.; Menn, C.; Rachev, S.T.; Türck, S. (2007). "Spot and derivative pricing in the EEX power market". Journal of Banking & Finance. 31 (11): 3462–3485.
doi:
10.1016/j.jbankfin.2007.04.011.
^Cheridito, P.; Kromer, E. (2013). "Reward-Risk Ratios". Journal of Investment Strategies. 3 (1): 3–18.
doi:
10.21314/JOIS.2013.022.
^Farinelli, S.; Ferreira, M.; Rossello, D.; Thoeny, M.; Tibiletti, L. (2008). "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios". Journal of Banking and Finance. 32 (10): 2057–2063.
doi:
10.1016/j.jbankfin.2007.12.026.