Oldrich Vasicek
Encyclopedia
Oldrich Alfons Vasicek (1942-) a Czech mathematician, received his master's degree in math from the Czech Technical University
, 1964, and a doctorate in probability theory from Charles University four years later.
Vasicek left for America, settled in San Francisco, and found employment in the management science department of Wells Fargo
Bank in January 1969.
In 1970, that bank sponsored a conference that included Fischer Black
and Myron Scholes
, who had just begun thinking seriously about the problem of valuing stock options. Of course, their paper on that subject, timed so as to coincide with a related paper by Robert C. Merton
, would revolutionize financial economics
three years later. Even their preliminary thoughts at the 1970 conference excited Vasicek, who soon made related issues his own life's work.
Vasicek's own breakthrough paper, describing the dynamics of the yield curve
, appeared in the Journal of Financial Economics
in 1977. In recognition of that paper, and subsequent work, the International Association of Financial Engineers
named Vasicek its IAFE/Sungard Financial Engineer of the Year, in 2004.
The mean-reverting short rate model
he describes is commonly known as the Vasicek model
.
In 1989 Stephen Kealhofer, John McQuown and Oldrich Vasicek founded company KMV. In 2002 the three enterpreneurs sold the company to Moody's
. In 2007, Moody's KMV was renamed to Moody's Analytics
.
Vasicek has received the Risk magazine Lifetime Achievement Award. He has been inducted into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame and the Risk Magazine Hall of Fame. Peter Carr, Head of Quantitative Financial Research at Bloomberg LP, included Vasicek's paper Probability of Loss on Loan Portfolio in book Derivatives Pricing: The Classic Collection, which was marketed as a selection of 19 most influential papers on quantitative finance.
He plays the flute and is an avid windsurfer.
Czech Technical University in Prague
Czech Technical University in Prague is one of the largest universities in the Czech Republic, and the oldest institute of technology in Central Europe....
, 1964, and a doctorate in probability theory from Charles University four years later.
Vasicek left for America, settled in San Francisco, and found employment in the management science department of Wells Fargo
Wells Fargo
Wells Fargo & Company is an American multinational diversified financial services company with operations around the world. Wells Fargo is the fourth largest bank in the U.S. by assets and the largest bank by market capitalization. Wells Fargo is the second largest bank in deposits, home...
Bank in January 1969.
In 1970, that bank sponsored a conference that included Fischer Black
Fischer Black
Fischer Sheffey Black was an American economist, best known as one of the authors of the famous Black–Scholes equation.-Background:...
and Myron Scholes
Myron Scholes
Myron Samuel Scholes is a Canadian-born American financial economist who is best known as one of the authors of the Black–Scholes equation. In 1997 he was awarded the Nobel Memorial Prize in Economic Sciences for a method to determine the value of derivatives...
, who had just begun thinking seriously about the problem of valuing stock options. Of course, their paper on that subject, timed so as to coincide with a related paper by Robert C. Merton
Robert C. Merton
Robert Carhart Merton is an American economist, Nobel laureate in Economics, and professor at the MIT Sloan School of Management.-Biography:...
, would revolutionize financial economics
Financial economics
Financial Economics is the branch of economics concerned with "the allocation and deployment of economic resources, both spatially and across time, in an uncertain environment"....
three years later. Even their preliminary thoughts at the 1970 conference excited Vasicek, who soon made related issues his own life's work.
Vasicek's own breakthrough paper, describing the dynamics of the yield curve
Yield curve
In finance, the yield curve is the relation between the interest rate and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S...
, appeared in the Journal of Financial Economics
Journal of Financial Economics
The Journal of Financial Economics or JFE, is a peer-reviewed academic journal covering the theory of financial economics. Together with the Journal of Finance and the Review of Financial Studies, it is considered to be among the top three finance journal. The editor is Bill Schwert...
in 1977. In recognition of that paper, and subsequent work, the International Association of Financial Engineers
International Association of Financial Engineers
The International Association of Financial Engineers is a non-profit professional society dedicated to fostering the field of financial engineering. The IAFE hosts several panel discussions throughout the year to discuss the issues that affect the industry from both academic and professional angles...
named Vasicek its IAFE/Sungard Financial Engineer of the Year, in 2004.
The mean-reverting short rate model
Short rate model
In the context of interest rate derivatives, a short-rate model is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,.-The short rate:...
he describes is commonly known as the Vasicek model
Vasicek model
In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of "one-factor model" as it describes interest rate movements as driven by only one source of market risk...
.
In 1989 Stephen Kealhofer, John McQuown and Oldrich Vasicek founded company KMV. In 2002 the three enterpreneurs sold the company to Moody's
Moody's
Moody's Corporation is the holding company for Moody's Analytics and Moody's Investors Service, a credit rating agency which performs international financial research and analysis on commercial and government entities. The company also ranks the credit-worthiness of borrowers using a standardized...
. In 2007, Moody's KMV was renamed to Moody's Analytics
Moody's Analytics
Moody’s Analytics provides capital markets and risk management professionals with credit analysis, economic research, financial risk management software, and advisory services...
.
Vasicek has received the Risk magazine Lifetime Achievement Award. He has been inducted into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame and the Risk Magazine Hall of Fame. Peter Carr, Head of Quantitative Financial Research at Bloomberg LP, included Vasicek's paper Probability of Loss on Loan Portfolio in book Derivatives Pricing: The Classic Collection, which was marketed as a selection of 19 most influential papers on quantitative finance.
He plays the flute and is an avid windsurfer.
See also
- Warsaw Pact invasion of CzechoslovakiaWarsaw Pact invasion of CzechoslovakiaOn the night of 20–21 August 1968, the Soviet Union and her main satellite states in the Warsaw Pact – Bulgaria, the German Democratic Republic , Hungary and Poland – invaded the Czechoslovak Socialist Republic in order to halt Alexander Dubček's Prague Spring political liberalization...