Svetlozar Rachev

Texas Tech University

Professor

Dept of Mathematics and Statistics

Lubbock, TX 79409

United States

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 11,349

SSRN RANKINGS

Top 11,349

in Total Papers Downloads

4,555

SSRN CITATIONS
Rank 9,349

SSRN RANKINGS

Top 9,349

in Total Papers Citations

7

CROSSREF CITATIONS

115

Scholarly Papers (32)

1.

A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses

Applied Probability Trust, December 2004
Number of pages: 16 Posted: 11 Mar 2005
University of California, Santa Barbara, University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University
Downloads 618 (46,745)
Citation 2

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Operational risk, censored and truncated cata, EM-Algorithm

Changes in Migration Matrices and Credit VAR - a New Class of Difference Indices

Number of pages: 32 Posted: 19 May 2006
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University
Downloads 342 (95,326)
Citation 1

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Transition Matrices, Matrix Norms, Difference Indices, Rating Migration, Credit VaR

3.

A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall

Number of pages: 38 Posted: 22 Jan 2007
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 424 (74,936)
Citation 3

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VaR, expected shortfall, stable Paretian laws, extreme value theory

4.

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Number of pages: 11 Posted: 18 Mar 2012
Karlsruhe Institute of Technology, University of Karlsruhe, Texas Tech University and EDHEC Business School
Downloads 332 (99,227)
Citation 1

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Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization

5.

Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case

Probability and Mathematical Statistics, Vol. 26, No. 1, pp. 1-22, 2006
Number of pages: 25 Posted: 21 Dec 2010
Charles Schwab, Cornell University, Texas Tech University and University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Downloads 331 (99,557)

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stable distributions, heavy tails, coherent risk measures, conditional value-at-risk, expected tail loss

6.

The Term Structure of Credit Spreads and Credit Default Swaps - An Empirical Investigation

Investment Management and Financial Innovations, Vol. 3, 2004
Number of pages: 36 Posted: 07 Sep 2008 Last Revised: 08 Apr 2014
Stefan Trück, Matthias Laub and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Universität Karlsruhe - Inst. für Statistik und math. Wirtschaftstheorie and Texas Tech University
Downloads 327 (100,941)

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Credit Spreads, Credit Default Swaps, Maturity Effects, Reduced Form Models

7.

Credit Portfolio Risk and Pd Confidence Sets Through the Business Cycle

Number of pages: 35 Posted: 28 Feb 2005
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University
Downloads 324 (101,996)
Citation 3

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Credit VaR, Transition Matrices, Rating Migration, Business Cycle, Continuous-time Modeling, PD estimation

8.

Optimal Financial Portfolios

Applied Mathematical Finance, Vol. 14, No. 5, 2007
Number of pages: 36 Posted: 22 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 319 (103,739)
Citation 2

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mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier

9.

Computing VAR and AVaR in Infinitely Divisible Distributions

Yale ICF Working Paper No. 09-07
Number of pages: 37 Posted: 08 May 2009
University of Karlsruhe, Texas Tech University, Bank of Italy and EDHEC Business School
Downloads 286 (116,761)
Citation 12

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tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk

10.

Computational Issues in Stable Financial Modeling

Applied Mathematics Reviews, Vol. 1, pp. 285-327, 2000
Number of pages: 39 Posted: 01 Nov 2004
Carlo Marinelli and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik and Texas Tech University
Downloads 242 (138,746)

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11.

Computing VaR and AVaR of Skewed-T Distribution

Journal of Applied Functional Analysis, 3, pp. 189-209, 2008
Number of pages: 19 Posted: 24 Dec 2010
Steftcho Dokov, Stoyan V. Stoyanov and Svetlozar Rachev
affiliation not provided to SSRN, Charles Schwab and Texas Tech University
Downloads 187 (176,826)

Abstract:

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skewed-T distribution, value-at-risk, average value-at-risk, conditional value-at-risk

12.

Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence

Mathematical and Computer Modelling, Vol. 34, No. 9-11, pp. 955-1001, 2001
Number of pages: 70 Posted: 15 Oct 2004
Carlo Marinelli, Svetlozar Rachev and Richard Roll
University of Bonn - Institut fuer Angewandte Mathematik, Texas Tech University and California Institute of Technology
Downloads 172 (190,358)

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13.

Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

Number of pages: 48 Posted: 17 May 2010 Last Revised: 19 Dec 2011
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Roma Tre and Texas Tech University
Downloads 128 (242,419)
Citation 1

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14.

Stochastic Models for Risk Estimation in Volatile Markets: A Survey

Annals of Operation Research, Vol. 176, No. 1, 2010
Number of pages: 22 Posted: 24 Dec 2010
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School
Downloads 95 (298,950)

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Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting

15.

Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version)

Hugo Steinhaus Center for Stochastic Methods Research Report No. HSC/05/1
Number of pages: 31 Posted: 04 Sep 2008
University of California, Santa Barbara, Hugo Steinhaus Center, Texas Tech University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 83 (327,750)
Citation 5

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Natural Catastrophe, Property Insurance, Loss Distribution, Truncated Data, Ruin Probability

16.

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Bank of Italy Temi di Discussione (Working Paper) No. 912
Number of pages: 52 Posted: 21 Jun 2013
Bank of Italy, Texas Tech University and EDHEC Business School
Downloads 68 (364,282)
Citation 18

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Ornstein-Uhlenbeck processes, tempered stable distributions, tempered infinitely divisible distributions, integrated processes, acceptance-rejection sampling, maximum likelihood estimation

17.

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bank of Italy Temi di Discussione (Working Paper) No. 944
Number of pages: 54 Posted: 25 Mar 2014
Bank of Italy, EDHEC Business School and Texas Tech University
Downloads 67 (367,176)
Citation 43

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volatility smile, option pricing, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, tempered stable processes and distributions, stochastic volatility models, time-changed Lévy processes, GARCH model, filtered historical simulation, particle filter

18.

Probability Metrics Applied to Problems in Portfolio Theory

Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Number of pages: 40 Posted: 23 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 62 (382,089)

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Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking

19.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
State University of New York, SUNY at Stony Brook University, College of Business, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 45 (441,318)

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option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions

20.

Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance

Number of pages: 38 Posted: 11 May 2014
Citizens Financial Group, IBM Research, EDHEC Business School and Texas Tech University
Downloads 40 (461,966)

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Smooth monotone covariance, Regularization, Elliptical distributions

21.

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008
Number of pages: 18 Posted: 24 Dec 2010
Stoyan V. Stoyanov and Svetlozar Rachev
Charles Schwab and Texas Tech University
Downloads 34 (488,718)

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average value-at-risk, risk measures, heavy-tails, asymptotic distribution, Monte Carlo method

22.

Risk Estimation for GARCH Processes with Heavy-Tailed Innovations

Number of pages: 56 Posted: 18 Jan 2019
Princeton University, Bulgarian Academy of Science, Texas Tech University, EDHEC Business School and affiliation not provided to SSRN
Downloads 19 (574,279)

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23.

Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals

Bundesbank Series 1 Discussion Paper No. 2005,21
Number of pages: 56 Posted: 08 Jun 2016
Deutsche Bundesbank, Texas Tech University and Cornell University
Downloads 7 (656,336)

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Asymptotic distribution, rate of convergence, stochastic regressor, stable non-Gaussian, finite or infinite variance, heavy tails

24.

A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions

European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Number of pages: 22 Posted: 27 Apr 2009
Wei Sun, Svetlozar Rachev and Frank J. Fabozzi
affiliation not provided to SSRN, Texas Tech University and EDHEC Business School
Downloads 2 (696,810)
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25.

Multi-Tail Generalized Elliptical Distributions for Asset Returns

Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Number of pages: 20 Posted: 08 Oct 2009
University of Karlsruhe, Texas Tech University, affiliation not provided to SSRN, EDHEC Business School and Bank of Italy
Downloads 1 (709,099)
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26.

Dilution of Sector Exposures: When Does Unintended Indexing Happen?

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Michael Stein and Svetlozar Rachev
University of Duisburg-Essen and Texas Tech University

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Unintended indexing, portfolio deadweight, diversification, exchange-traded funds, sectors, fund portfolios

27.

Bayesian Inference for Hedge Funds with Stable Distribution of Returns

RETHINKING RISK MEASURING AND REPORTING, Vol. 2, Klaus Bocker, ed., Risk Books, 2010
Posted: 02 Jun 2011
Ozyegin University, Texas Tech University, Independent and EDHEC Business School

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Bayesian methods, hedge fund risk, value-at-risk, MCMC, stable distributions

28.

Fat-Tailed Models for Risk Estimation

Journal of Portfolio Management, Vol. 37, No. 2, 2011
Posted: 26 Feb 2011
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School

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Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement

29.

Desirable Properties of an Ideal Risk Measure in Portfolio Theory

International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 19-54 , 2008
Posted: 25 Apr 2010
Texas Tech University, University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA), affiliation not provided to SSRN and EDHEC Business School

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Risk aversion, portfolio choice, investment risk, reward measure, diversification

30.

Barrier Option Pricing by Branching Processes

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Posted: 21 Apr 2010
Bulgarian Academy of Science, Texas Tech University, University of Karlsruhe and EDHEC Business School

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Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment

31.

Quantifying Risk in the Electricity Business: A RAROC-based Approach

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Texas Tech University, Leibniz Universität Hannover - Faculty of Economics and Management, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

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Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC

32.

Credit Portfolio Risk and Probability of Default Confidence Sets Through the Business Cycle

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005
Posted: 10 May 2006
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University

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transition matrices, VAR, credit portfolios, migration matrices, value-at-risk, loan portfolios, PD, probability default, bootstrapping

Other Papers (1)

Total Downloads: 39
1.

Stable Modeling of Different European Power Markets

Investment Management & Financial Innovations, Vol. 2, No. 3, 2005
Number of pages: 28 Posted: 12 Mar 2005 Last Revised: 07 Sep 2008
Christian Mugele, Svetlozar Rachev and Stefan Trück
Munich Graduate School of Economics, Texas Tech University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 39

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Stable distribution, electricity prices, GARCH model, time series