Reuters on Zari Rachev

Here’s an interesting article on Zari Rachev.

Professor Zari Rachev scorns the idea that market cataclysms cannot be forecast. He says his statistical models have predicted them, and his customers agree.
His daughter is now president of New York-based company FinAnalytica, which uses his models to provide investors and risk managers with a risk indicator that takes into account the worst-case scenarios.
As those who have so far survived the financial crisis pick over the wreckage to develop enhanced predictors of market risk, Rachev’s are among the offerings for people who believe statistical models can help.
“This past year was very important for us, because it validated everything that we worked for,” Boryana Racheva-Iotova told Reuters by telephone from Bulgaria.
Her firm’s risk measure, fat-tailed expected tail loss or ETL, gave investors advance notice of a sharp fall in the Dow Jones Industrial Average among other markets: the Dow fell from a life high in November 2007 to a 12-year low in March 2009, sliding sharpest after Lehman Brothers failed in September 2008.

You can read the rest here.

Posted by on May 26th, 2009 at 10:31 am


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