Oldrich Vasicek


Oldrich Vasicek

Oldrich Alfons Vasicek (Oldřich Vašíček) (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.[1] In 2007, Moody's KMV was renamed to Moody's Analytics.[2]

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.[3]

He plays the flute and is an avid windsurfer.

Notes

  1. ^ Moody's, Moody's Corporation to Acquire KMV (press release), 11 February 2002
  2. ^ http://www.allbusiness.com/services/business-services/4540649-1.html Moody’s Corporation Announces New Business Unit Structure August 7, 2007
  3. ^ pdf version of the paper is freely available on moodysanalytics.com website (http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Portfolio-Modeling/87-12-02-Probability-of-Loss-on-Loan-Portfolio.ashx)

See also