Stoyan Veselinov Stoyanov, Ph.D. SHORT BIO EDUCATION. Associate Professor Specialization: Finance/Quantitative Finance Office: Harriman 315

Size: px

Start display at page:

Download "Stoyan Veselinov Stoyanov, Ph.D. SHORT BIO EDUCATION. Associate Professor Specialization: Finance/Quantitative Finance Office: Harriman 315"

Wesley Walton
6 years ago
Views:

Stoyan Veselinov Stoyanov, Ph.D. Associate Professor Specialization: Finance/Quantitative Finance Office: Harriman 315 Phone: 631.632.5639 E-mail: stoyan.stoyanov@stonybrook.

Prior to joining Stony Brook University, Stoyan was a professor of finance at EDHEC Business School and head of research at EDHEC Risk Institute Asia.

1 Stoyan Veselinov Stoyanov, Ph.D. Associate Professor Specialization: Finance/Quantitative Finance Office: Harriman 315 Phone: SHORT BIO Stoyan Stoyanov is an associate professor of finance in the Centre for Finance and College of Business, Stony Brook University. Prior to joining Stony Brook University, Stoyan was a professor of finance at EDHEC Business School and head of research at EDHEC Risk Institute Asia. He worked for over six years as head of quantitative research for FinAnalytica, a financial technology firm. He has designed and implemented investment and risk management models for financial institutions, co-developed a patented system for portfolio optimization in the presence of non-normality, and led a team of engineers designing and planning the implementation of advanced models for major financial institutions. His research focuses on probability theory, extreme risk modeling, and optimal portfolio theory. He has published over thirty articles in leading academic and practitioner-oriented scientific journals such as Annals of Operations Research, Journal of Banking and Finance, and the Journal of Portfolio Management, contributed to many professional handbooks and co-authored three books on probability and stochastics, financial risk assessment and portfolio optimization. He holds a master in science in applied probability and statistics from Sofia University and a PhD in mathematical finance from Karlsruhe Institute of Technology. EDUCATION Karlsruhe Institute of Technology, Chair of Statistics, Econometrics and Mathematical Finance Ph.D. in Finance: Thesis Optimal portfolio management in highly volatile markets under the supervision of Prof Svetlozar Rachev, graduated with honors Sofia University Graduated M. Sci. in Applied Probability and Statistics at the Faculty of Mathematics and Informatics (GPA 6.00, maximum is 6.00). Master Thesis: Univariate Stable Distributions computational issues in the applications Sofia University

2 PROFESSIONAL EXPERIENCE Graduated B. A. in economics at the Faculty of Economics and Business Administration (GPA 5.80, maximum is 6.00) EDHEC Business School Professor of Finance Program Director of the Part-time MSc in Risk and Investment Management for Asia. Head of Research of EDHEC Risk Institute Asia. Director of Fully Customized Indices, ERI Scientific Beta FinAnalytica, Inc. Head of Quantitative Research Achievements: - Efficiently managing a quant team resulting in fast execution of research tasks. - The quant team successfully designed and planned the implementation of sophisticated financial models to solve complex problems raised by clients, such as a large hedge fund based in Chicago, Aviva Investors, Tremont, UBS O Connor, and UBS Stamford. - Developed key models: the Cognity copula model, Skewed T distributions framework, optimization of reward/risk ratios, etc. Key Responsibilities: - Lead and oversee financial models technologies research of the company; leads the quant team. - Financial and mathematical modeling in new modules and products - Advise and help the project manager to define detailed tasks and deadlines - Make decision on urgent, unplanned tasks related to mathematical models subject to client-imposed procedures Bravo Group Ltd Senior Quant Achievements: - Implemented the main fat-tailed framework in Cognity based on stable distributions Bravo Group Ltd Junior Quant Achievements: - Implemented a fat-tailed scenario generation engine deployed in GZ Bank, Stuttgart, Germany FULL LIST OF PUBLICATIONS Books and Monographs 2

3 [1] S. Rachev, S. Stoyanov, and F. Fabozzi. Optimal Portfolio Management in Highly Volatile Markets. Scholars Press, [2] S. Rachev, L. Klebanov, S. Stoyanov, and F. Fabozzi. The Method of Distances in Probability Theory and Statistics. Springer, NY, [3] S. Rachev, S. Stoyanov, and F. Fabozzi. A Probability Metrics Approach to Financial Risk Measures. Blackwell-Wiley Publishing, [4] S. Rachev, S. Stoyanov, and F. Fabozzi. Advanced Stochastic Models, Risk Assessment and Portfolio Optimization: The ideal Risk, Uncertainty and Performance Measures. Wiley, Finance, New York, Papers Published in Refereed Journals [5] M. Stein, D. Piazolo, and S. Stoyanov. Tail parameters of stable distributions using one million observations of real estate returns from five continents, forthcoming in Journal of Real Estate Research, [6] S. Stoyanov, S. Rachev, and F. Fabozzi. CVaR sensitivity with respect to tail thickness. Journal of Banking and Finance, 37(3): , [7] S. Stoyanov, S. Rachev, and F. Fabozzi. Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Annals of Operations Research, 205(1): , [8] L. Loh, L. Martellini, and S. Stoyanov. Assessing volatility indicators: The benefit of regional equity volatility indices. Bankers, Markets & Investors, 117:50 59, [9] F. Goltz and S. Stoyanov. The risks of volatility ETNs: A recent incident and underlying issues. Journal of Index Investing, 4(2):73 81, [10] F. Fabozzi, S. Rachev, and S. Stoyanov. Computational aspects of portfolio risk estimation in volatile markets: A survey. Studies in Nonlinear Dynamics and Econometrics, 17(1): , [11] S. Stoyanov, S. Rachev, and F. Fabozzi. Metrization of stochastic dominance rules. International Journal of Theoretical and Applied Finance, 15(2):1 22, [12] F. Goltz, R. Guobuzaite, L. Martellini, and S. Stoyanov. Introducing a new form of volatility index: The cross-sectional volatility index. Bankers, Markets & Investors, 117:19 27, March-April [13] S. Stoyanov, S. Rachev, B. Racheva-Iotova, and F. Fabozzi. Fat-tailed models for risk estimation. Journal of Portfolio Management, 37(2): , [14] S. Stoyanov, S. Rachev, B. Racheva-Iotova, and F. Fabozzi. Stochastic models for risk estimation in volatile markets: A survey. Annals of Operations Research, 176(1): , [15] M. Stein, S. Rachev, and S. Stoyanov. Broad market risk for sector fund of funds: A copula-based dependence approach. Investment Management and Financial Innovations, 7(2):36 44, [16] S. Rachev, A. Biglova, S. Ortobelli, and S. Stoyanov. A note on the impact of non-linear reward and risk measures. Journal of Applied Functional Analysis, 5(1): , [17] S. Ortobelli, S. Rachev, A. Biglova, and S. Stoyanov. Portfolio selection based on a simulated copula. Journal of Applied Functional Analysis, 5(2): ,

4 [18] S. Stoyanov, S. Rachev, and F. Fabozzi. Construction of probability metrics on classes of investors. Economics Letters, 103(1):45 48, April [19] M. Stein, S. Stoyanov, and S. Rachev. R Ratio optimization with heterogeneous assets using genetic algorithm. Investment Management and Financial Innovations, 6(2): , [20] A. Biglova, S. Rachev, S. Stoyanov, and S. Ortobelli. Analysis of the factors influencing momentum profits. Journal of Computational Analysis and Applications, 4(1):81 106, [21] W. Sun, S. Rachev, S. Stoyanov, and F. Fabozzi. Multivariate skewed Students t copula in analysis of nonlinear and asymmetric dependence in German equity market. Studies in Nonlinear Dynamics and Econometrics, 12(2):1 35, [22] S. Stoyanov, S. Rachev, S. Ortobelli, and F. Fabozzi. Relative deviation metrics and the problem of strategy replication. Journal of Banking and Finance, 32(2): , [23] S. Stoyanov, S. Rachev, and F. Fabozzi. Probability metrics with applications in finance. Journal of Statistical Theory and Practice, 2(2): , [24] S. Stoyanov and S. Rachev. Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns. Journal of Applied Functional Analysis, 3: , [25] S. Stoyanov and S. Rachev. Asymptotic distribution of the sample average value-at-risk. Journal of Computational Analysis and Applications, 10: , [26] S. Rachev, S. Ortobelli, S. Stoyanov, F. Fabozzi, and A. Biglova. Desirable properties of an ideal risk measure in portfolio theory. International Journal of Theoretical and Applied Finance, 11(1):1 36, [27] S. Rachev, T. Jasik, S. Stoyanov, and F. Fabozzi. Momentum strategies based on rewardrisk stock selection criteria. Journal of Banking and Finance, 31(8): , [28] S. Dokov, S. Stoyanov, and S. Rachev. Computing VaR and AVaR of skewed t distribution. Journal of Applied Functional Analysis, 3: , [29] A. Biglova, T. Kanamura, S. Rachev, and S. Stoyanov. Modeling, risk assessment and portfolio optimization of energy futures. Investment Management and Financial Innovations, 5(1):17 31, [30] S. Stoyanov, S. Rachev, and F. Fabozzi. Optimal financial portfolios. Applied Mathematical Finance, 14(5): , [31] G. Samorodnitsky, S. Rachev, J-R. Kim, and S. Stoyanov. Asymptotic distribution of unbiased linear estimators in the presence of heavy-tailed regressors and residuals. Probability and Mathematical Statistics, 27: , [32] S. Rachev, S. Stoyanov, C. Wu, and F. Fabozzi. Empirical analyses of industry stock index return distributions for the Taiwan stock exchange. Annals of Economics and Finance, 8(1):21 31, [33] S. Stoyanov, G. Samorodnitsky, S. Rachev, and S. Ortobelli. Computing the portfolio conditional value-at-risk in the alpha-stable case. Probability and Mathematical Statistics, 26:1 22, [34] F. Fabozzi, B. Racheva-Iotova, and S. Stoyanov. An empirical examination of the return distribution characteristics of agency mortgage pass through securities. Applied Financial Economics, 16: ,

5 [35] S. Ortobelli, S. Rachev, S. Stoyanov, F. Fabozzi, and A. Biglova. The proper use of risk measures in portfolio theory. International Journal of Theoretical and Applied Finance, 8: , [36] S. Ortobelli, A. Biglova, I. Huber, B. Racheva-Iotova, and S. Stoyanov. Portfolio choice with heavy-tailed distributions. Journal of Concrete and Applicable Mathematics, 3(3): , [37] S. Stoyanov and B. Racheva-Iotova. Univariate stable laws in the field of finance - parameter estimation. Journal of Concrete and Applicable Mathematics, 2(4):24 49, [38] S. Stoyanov and B. Racheva-Iotova. Univariate stable laws in the field of finance - approximations of density and distribution functions. Journal of Concrete and Applicable Mathematics, 2(1):38 57, [39] A. Biglova, S. Ortobelli, S. Rachev, and S. Stoyanov. Different approaches to risk estimation in portfolio theory. Journal of Portfolio Management, pages , Fall [40] S. Woerner, B. Racheva-Iotova, and S. Stoyanov. Calibration of a basket option model applied to company valuation. Mathematical Methods of Operations Research, 55: , Refereed Conference Papers [41] S. Ortobelli, A. Biglova, S. Stoyanov, S. Rachev, and F. Fabozzi. A comparison among performance measures in portfolio theory. In Proceedings Of the 16-th IFAC Conference, Prague, Czech Republic, pages 4 8, [42] I. Iordanov, S. Stoyanov, and A. Vassilev. Price dynamics in a two region model with strategic interaction. In Mathematics and education in mathematics (Bulgarian), pages Union of Bulgarian Mathematicians, Sofia, [43] S. Woerner, B. Racheva-Iotova, and S. Stoyanov. Modelling a biopharmaceutical company as a compound option. In Proceedings of the Conference on Modeling and Control of Economic Systems. SME 2001, Klagenfurth, Austria, pages , Non-refereed Papers [44] S. Stoyanov, S. Rachev, and F. Fabozzi. Value-at-risk. In Frank J. Fabozzi, editor, Encyclopaedia of Financial Models, volume III, pages Wiley, [45] S. Stoyanov, S. Rachev, and F. Fabozzi. Average value-at-risk. In Frank J. Fabozzi, editor, Encyclopaedia of Financial Models, volume III, pages Wiley, [46] E. Sereda, E. Bronstein, S. Rachev, F. Fabozzi, W. Sun, and S. Stoyanov. Distortion risk measures in portfolio optimization. In Jr. John Guerard, editor, The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, pages Springer-Verlag, [47] S. Rachev, B. Racheva-Iotova, S. Stoyanov, and F. Fabozzi. Risk management and portfolio optimization for volatile markets. In Jr. John Guerard, editor, The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, pages Springer-Verlag,

6 [48] S. Rachev, D. Martin, B. Racheva-Iotova, and S. Stoyanov. Stable ETL optimal portfolios and extreme risk management. In G. Bol et al., editor, Risk Assessment: Decisions in Banking and Finance, pages Springer/Physika, [49] S. Stoyanov and B. Racheva-Iotova. Post-modern approaches for portfolio optimization. In Seese-Weinhardt-Schlottmann, editor, The Handbook on IT and Finance, pages Springer-Verlag, [50] S. Stoyanov, S. Rachev, and F. Fabozzi. Principles of optimization for portfolio selection. In Frank J. Fabozzi, editor, Handbook of Finance, pages Wiley, [51] S. Rachev, S. Stoyanov, A. Biglova, and F. Fabozzi. An empirical examination of daily stock return distributions for U.S. stocks. In Baier-Decker-Schmidt-Thieme, editor, Data Analysis and Decision Support, Springer Series in Studies in Classification, Data Analysis, and Knowledge Organization, pages Springer-Verlag, [52] S. Stoyanov and B. Racheva-Iotova. Numerical methods for stable modeling in financial risk management. In Svetlozar T. Rachev, editor, Handbook of Computational and Numerical Methods in Finance, pages Birkhauser, [53] B. Racheva-Iotova, S. Stoyanov, and S. Rachev. Stable non-gaussian credit risk model: The Cognity approach. In Bol et al, editor, Credit Risk - Measurement, Evaluation and Management, pages Springer, Miscellaneous Published Material in ERI Publication Series [54] L. Loh and S. Stoyanov. Tail risk of equity markets: An extreme value theory approach. Technical report, EDHEC Risk Institute, February [55] L. Loh and S. Stoyanov. Tail risk of Asian markets: An EVT approach. Technical report, EDHEC Risk Institute, August [56] L. Loh, L. Martellini, and S. Stoyanov. The relevance of country- and sector-specific model-free volatility indicators. Technical report, EDHEC Risk Institute, March [57] L. Loh, L. Martellini, and S. Stoyanov. The local volatility factor for Asian stock markets. Technical report, EDHEC Risk Institute, August [58] F. Goltz, L. Martellini, and S. Stoyanov. Analysing statistical robustness of crosssectional volatility. Technical report, EDHEC Risk Institute, August [59] F. Goltz and S. Stoyanov. The risks of volatility ETNs: A recent incident and underlying issues. Technical report, EDHEC Risk Institute, September [60] F. Ducoulombier, L. Loh, and S. Stoyanov. What asset liability management for sovereign wealth funds? Technical report, EDHEC Risk Institute, March [61] S. Stoyanov. Structured equity investment strategies for long-term Asian investors. Technical report, EDHEC Risk Institute, August [62] N. Amenc, F. Goltz, and S. Stoyanov. A post crisis perspective on diversification for risk management. Technical report, EDHEC Risk Institute, May Miscellaneous Published Material in Practitioner Journals 6

7 [63] L. Loh and S. Stoyanov. The impact of risk controls and strategy-specific risk diversification on extreme risk. P&I EDHEC Risk Research Insights, May [64] L. Loh and S. Stoyanov. The extreme risk of Asian indices. Asian Investor, EDHEC Risk Research Insights, March [65] L. Loh and S. Stoyanov. Extreme risk and smart beta strategies. Investments & Pensions Europe, EDHEC Risk Research Insights, Spring [66] S. Stoyanov. Structured equity investment strategies for long-term asian investors. Investments & Pensions Europe, EDHEC Risk Research Insights, Winter [67] L. Loh and S. Stoyanov. Tail risk of Asian markets. Asia Asset Management, November [68] L. Loh and S. Stoyanov. Asian volatility indices and volatility products. Investments & Pensions Europe, EDHEC Risk Research Insights, Winter [69] L. Loh, L. Martellini, and S. Stoyanov. Implications of regional volatility factors for asset management. Investments & Pensions Europe, EDHEC Risk Research Insights, Summer [70] L. Loh, L. Martellini, and S. Stoyanov. Hedging volatility in Asian stock markets. Investment Magazine, October [71] F. Goltz and S. Stoyanov. Equity volatility indexing products. Asian Investor, EDHEC Risk Research Insights, June [72] S. Stoyanov. Structured equity investing for long-term Asian investors. Investment Magazine, February [73] F. Ducoulombier, L. Loh, and S. Stoyanov. What asset-liability management strategy for sovereign wealth funds? P&I EDHEC Risk Research Insights, Autumn [74] S. Stoyanov. Manage investment risk in three steps. Investment Magazine, November [75] N. Amenc, F. Goltz, and S. Stoyanov. A post-crisis perspective on diversification for risk management. Investments & Pensions Europe, EDHEC Risk Research Insights, Summer [76] S. Stoyanov. Integrating three approaches to risk management. Asia Asset Management, November-December [77] S. Stoyanov. Cap-weighted indices: shortcomings and solutions. Asia Asset Management, August [78] S. Stoyanov. Banning naked shorts has far-reaching negative consequences. The Asian Banker, August2010. [79] S. Rachev, B. Racheva-Iotova, and S. Stoyanov. Capturing fat tails. RISK, May Patents [80] S. Rachev, B. Racheva-Iotova, S. Stoyanov, and R. Martin. System and method for providing reallocation and reverse optimization of a financial portfolio using a parametric leptokurtic distribution, United States patent, U.S. patent trademark office, patent number 7,890,409, February 15,

8 [81] S. Rachev, B. Racheva-Iotova, S. Stoyanov, and R. Martin. System and method for providing optimization of a financial portfolio using a parametric leptokurtic distribution, United States patent, serial no.:10/888,414, filed July 9, 2004, decket no.: 031/0424.us.utl, May, [82] L. Martellini, F. Goltz, and S. Stoyanov. System, method and computer program product for measuring risk levels in a stock market by providing a volatility, skewness and kurtosis index, serial no.: 13/156,342, publication number: US 2011/ a1, filed June 9, EDITORIAL BOARDS Associate Editor, Studies in Economics and Finance TECHNICAL SKILLS Expert in MATLAB for research and prototyping Java SE Python LaTeX. LANGUAGES Bulgarian mother tongue English fluent German basic Russian basic French basic INTERESTS Distributed computing projects Swimming Long-distance running. 8

PhD in Business Studies, University of Nice, Finance Master of Science, ENSAE (Paris), Statistics, Finance, Actuarial Science.

PhD in Business Studies, University of Nice, Finance Master of Science, ENSAE (Paris), Statistics, Finance, Actuarial Science. Vincent Milhau, PhD Research Director, EDHEC-Risk Institute Phone : +33 (0)4 93 18 78 04 E-mail : vincent.milhau@edhec.edu Vincent Milhau is a Research Director at EDHEC-Risk Institute. He is in charge