Sharing Our Expertise
As times change, so does the paradigm that we operate in. These are new times. These are “fat-failed” times requiring a new set of tools. Our aim is to provide fresh and evolving solutions that enable practitioners to tackle the investment challenges they face in this new reality.
We at FinAnalytica draw on our core strengths and commitment to sound research and development practices in all publications, presentations and product releases. We are dedicated to sharing our knowledge and expertise with the highest possible transparency. We strive to provide the most innovative and relevant methodology. Our goal is to remain at the forefront of current and future risk management and portfolio construction issues by collaborating with our customers and our extensive academic network.
Latest Briefing
Extreme Events on a Univariate Level, May 2009 by Boryana Racheva-Iotova
Understanding the Fat-tails of a risk driver. The global financial crisis that began in the fall 2007 is a profound reminder that black swans - those rare events which, until they occur, may have been thought impossible – do exist.
Latest White Paper
01 Sep, 2009
Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach
Michael Stein, Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
We use a combination of sophisticated methods to measure the dependence of a sector FoF on the broad stock market, thereby modeling the univariate randomness of the variables adequately as well. A very parsimonious approach is used to allow for updating in high frequencies and on a regular basis using only recent information and therefore small data sets. This allows for a large variety of applications, from risk management and measurement, portfolio optimizations and scenario analyses to investment selection and hedging purposes as examples, the latter being critical for sector FoFs when adequate hedging tools are unavailable.
Latest Presentation
Understanding Fat Tails & Risk Measures in Volatile Markets, June 2009
by Boryana Racheva-Iotova, Risk Europe, Frankfurt
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Wiley, February 2008
