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

• Warsaw Pact invasion of Czechoslovakia

Persondata
Name	Vasicek, Oldrich
Alternative names
Short description
Date of birth	1942
Place of birth
Date of death
Place of death

This article about a European mathematician is a stub. You can help Wikipedia by expanding it.v · Categories: 1942 births Living people Financial economists American people of Czech descent Czech scientist stubs European mathematician stubs Wikimedia Foundation. 2010. Игры ⚽ Поможем решить контрольную работу Martha Beck Stoke Military Hospital Look at other dictionaries: Oldrich Vasicek — (né en 1942) est un mathématicien et économiste tchèque. Détenteur d un doctorat en probabilités, il s est réfugié aux États Unis après le printemps de Prague. Il a alors travaillé pour la banque Wells Fargo à San Francisco où il fit la… …   Wikipédia en Français Vasicek — oder Vašíček ist der Familienname folgender Personen: Antonín Vašíček (1903–1966), tschechischer Physiker Caroline Vasicek (* 1974) österreichische Darstellerin Josef Vašíček (1980–2011), tschechischer Eishockeyspieler Michael Vašíček (* 1979),… …   Deutsch Wikipedia 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 (short rate model) as it describes interest rate movements as driven by only one source of market risk. The model… …   Wikipedia John Vasicek — Infobox Person name=John Vasicek caption= birth date=birth date and age|1974|1|31John Vasicek (born 1974) is an American filmmaker. His debut film, Voyeur [imdb title|0460985|Voyeur ] , was selected for the 2007 Sonoma film festival. Vasicek… …   Wikipedia International Association of Financial Engineers — The International Association of Financial Engineers (IAFE) 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… …   Wikipedia Yield curve — This article is about yield curves as used in finance. For the term s use in physics, see Yield curve (physics). Not to be confused with Yield curve spread – see Z spread. The US dollar yield curve as of February 9, 2005. The curve has a typical… …   Wikipedia Campolindo High School — Infobox School caption = name = Campolindo High School established = 1962 type = Public High school principal = Carol Kitchens free label = Colors Mascot free text = Red and Blue Cougar enrollment = 1,339 location = 300 Moraga Road Moraga,… …   Wikipedia Chen model — In finance, the Chen model is a mathematical model describing the evolution of interest rates. It is a type of three factor model (short rate model) as it describes interest rate movements as driven by three sources of market risk. It was the… …   Wikipedia Probability of default — Basel II Bank for International Settlements Basel Accords Basel I Basel II Background Banking Monetary policy Central bank Risk …   Wikipedia Via Bona Award — The Via Bona Awards for Philanthropy are annual awards presented by the Via Foundation to acknowledge exemplary philanthropy of companies and individuals who have a history of strong support of the work of non profit organizations in the Czech… …   Wikipedia 18+ © Academic, 2000-2024 Contact us: Technical Support, Advertising Dictionaries export, created on PHP, Joomla, Drupal, WordPress, MODx. Mark and share Search through all dictionaries Translate… Search Internet Share the article and excerpts Direct link … Do a right-click on the link above and select “Copy Link”