Dr. Sci. Svetlozar(Zari) Rachev
Technical Reports 2011
- Jimmie D. Goode, Svetlozar Rachev, Ivan Mitov, Frank J. Fabozzi: Variability of Full-MLE ARMA-GARCH VaR and ETL Estimates
- Sven Klingler, Young Shin Kim, Svetlozar Rachev, Frank J. Fabozzi:Option Pricing with Time-Changed Levy Processes
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 a?ne 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
Announcements
College of Business Alumnus Gives Back.
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CoB Alumni Keep in Touch by completing the Alumni form.
Introducing the Stony Brook University Saturday Executive MBA Program. A blended program of Saturday and online classes.
Two New Concentrations available within the MBA degree.
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