Download here

Stoyan Veselinov Stoyanov, PhD
Accounting, Law, Finance and Economics Department
Professor – Speciality: Finance.
Programme Director of the Part-Time MSc in Risk and
Investment Management for Asia.
Head of Research of EDHEC Risk Institute–Asia.
Phone : +65 66318571
Fax : +65 6438 9891
E-mail : [email protected]
SHORT BIO
Stoyan Stoyanov is professor of finance at EDHEC Business School and head of research at
EDHEC Risk Institute-Asia. He has ten years of experience in the field of risk and investment
management. Prior to joining EDHEC Business School, he worked for over six years as head
of quantitative research for FinAnalytica. He has designed and implemented investment and
risk management models for financial institutions, co-developed a patented system for
portfolio optimisation in the presence of non-normality, and led a team of engineers designing
and planning the implementation of advanced models for major financial institutions. His
research focuses on probability theory, extreme risk modelling, and optimal portfolio theory.
He has published over thirty articles in leading academic and practitioner-oriented scientific
journals such as Annals of Operations Research, Journal of Banking and Finance, and the
Journal of Portfolio Management, contributed to many professional handbooks and coauthored three books on probability and stochastics, financial risk assessment and portfolio
optimisation. He holds a master in science in applied probability and statistics from Sofia
University and a PhD in finance from the University of Karlsruhe.
EDUCATION
2003–2005
Universität Karlsruhe (TH), Chair of Statistics, Econometrics and
Mathematical Finance
Ph.D. in Finance: Thesis “Optimal portfolio management in highly
volatile markets” under the supervision of Prof Svetlozar Rachev,
graduated with honors.
2000–2002
Sofia University
Graduated M. Sci. in Applied Probability and Statistics at the Faculty of
Mathematics and Informatics (GPA 6.00, maximum is 6.00).
Master Thesis: “Univariate Stable Distributions – computational issues
in the applications”.
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
1996–2000
Sofia University
Graduated B. A. in economics at the Faculty of Economics and
Business Administration (GPA 5.80, maximum is 6.00).
PROFESSIONAL EXPERIENCE
04.2010–Present
EDHEC Business School
Professor of Finance
Programme Director of the Part-time MSc in Risk and Investment
Management for Asia.
Head of Research of EDHEC Risk Institute–Asia.
06.2003-03.2010
FinAnalytica, Inc.
Head of Quantitative Research
Achievements:
- Efficiently managing a quant team resulting in fast execution of
research tasks.
- The quant team successfully designed and planned the
implementation of sophisticated financial models to solve complex
problems raised by clients, such as a large hedge fund based in
Chicago, Aviva Investors, Tremont, UBS O’Connor, and UBS
Stamford.
- Developed key models: the Cognity copula model, Skewed T
distributions framework, optimization of reward/risk ratios, etc.
Key Responsibilities:
- Lead and oversee financial models technologies research of the
company; leads the quant team.
- Financial and mathematical modeling in new modules and products
- Advise and help the project manager to define detailed tasks and
deadlines
- Make decision on urgent, unplanned tasks related to mathematical
models subject to client-imposed procedures
06.2001–06.2003
Bravo Group Ltd
Senior Quant
Achievements:
- Implemented the main fat-tailed framework in Cognity based on
stable distributions
03.2000–06.2001
Bravo Group Ltd
Junior Quant
Achievements:
- Implemented a fat-tailed scenario generation engine deployed in GZ
Bank, Stuttgart, Germany
2
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
PUBLICATIONS
Articles published/forthcoming in refereed journals
1. Goltz, F., S. Stoyanov (2013) The risks of volatility ETNs: A recent incident and
underlying issues, Journal of Index Investing, Vol. 4, No. 2: pp. 73-81.
2. Lixia, L., L. Martellini, and S. Stoyanov (2013) Assessing volatility indicators: the benefit
of regional equity volatility indices, Bankers, Markets & Investors No. 117, May-June, pp
50-59.
3. Fabozzi, F., Stoyanov, S, and Rachev, S (2013) Computational aspects of portfolio risk
estimation in volatile markets: a survey, Studies in Nonlinear Dynamics and
Econometrics, Vol. 17, No 1, pp 103-120.
4. Stoyanov, S., Rachev, S., Fabozzi, F. (2013): CVaR sensitivity with respect to tail
thickness, Journal of Banking and Finance, Vol. 37, No 3, pp 977-988.
5. Stoyanov, S., Rachev, S., Fabozzi, F. (2013): Sensitivity of portfolio VaR and CVaR to
portfolio return characteristics, Annals of Operations Research, Vol. 205, No 1, pp 169187.
6. Stoyanov, S., Rachev, S., Fabozzi, F. (2012): Metrization of stochastic dominance rules,
International Journal of Theoretical and Applied Finance Vol 15, No. 2, pp 1-22.
7. Goltz, F., Guobuzaite, R., Martellini, L., Stoyanov S. (2012) Introducing a new form of
volatility index: The cross-sectional volatility index, Bankers, Markets & Investors No.
117, March-April, pp. 19-27.
8. Stoyanov, S., Rachev, S., Racheva-Iotova, B., Fabozzi, F. (2011): Fat-tailed models for
risk estimation, Journal of Portfolio Management, Winter 2011, Vol. 37, No. 2: pp. 107–
117.
9. Stoyanov, S., Racheva-Iotova, B., Rachev, S., Fabozzi, F. (2010): Stochastic models for
risk estimation in volatile markets: A survey, Annals of Operations Research, Vol. 176
(1), pp. 293-309.
10. Stein M., Rachev S., Stoyanov S. (2010): Broad market risk for sector fund of funds: A
copula-based dependence approach, Investment Management and Financial Innovations,
2.
11. Rachev, S., Biglova, A., Ortobelli, S., Stoyanov, S. (2010): A note on the impact of nonlinear reward and risk measures, Journal of Applied Functional Analysis, 5(1), pp. 194203.
12. Ortobelli, S., Rachev, S., Biglova, A., Stoyanov, S. (2010): Portfolio selection based on a
simulated copula, Journal of Applied Functional Analysis, 5(2), pp. 177-194.
13. Stoyanov, S., Rachev, S., Fabozzi, F. (2009): Construction of probability metrics on
classes of investors, Economics Letters, Vol. 103, No. 1 (April 2009), pp 45-48.
3
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
14. Stein, M., Rachev, S., Stoyanov, S. (2009): R Ratio optimization with heterogeneous
assets using genetic algorithm, Investment Management and Financial Innovations, 6(2),
pp 117-134.
15. Biglova, A., Rachev, S., Stoyanov, S., Ortobelli, S. (2009): Analysis of the factors
influencing momentum profits, Journal of Computational Analysis and Applications, 4(1),
pp. 81-106.
16. Stoyanov, S., Rachev, S., Ortobelli, S., Fabozzi, F. (2008): Relative deviation metrics and
the problem of strategy replication, Journal of Banking and Finance, 32, Issue 2, pp 199206.
17. Sun, W., Rachev, S., Stoyanov, S., Fabozzi, F. (2008): Multivariate skewed student’s t
copula in analysis of nonlinear and asymmetric dependence in German equity market,
Studies in Nonlinear Dynamics and Econometrics, Vol. 12.2/3, pp. 1-35.
18. Biglova, A., Kanamura, T., Rachev, S., Stoyanov, S. (2008): Modeling, risk assessment
and portfolio optimization of energy futures, Investment Management and Financial
Innovations, 5(1), pp. 17-31.
19. Rachev S. T., Ortobelli S., Stoyanov S., Fabozzi F. and Biglova, A. (2008): Desirable
properties of an ideal risk measure in portfolio theory, International Journal of
Theoretical and Applied Finance, 11(1), pp 1-36.
20. Stoyanov, S., Rachev, S., Fabozzi, F. (2008): Probability metrics with applications in
finance, Journal of Statistical Theory and Practice, special volume: Recent Advances in
Applied Probability, Vol. 2, No. 2 (June 2008), pp. 253-277.
21. Dokov, S., Stoyanov, S., Rachev, S. (2008): Computing VaR and AVaR of skewed T
distribution, Journal of Applied Functional Analysis, 3, pp. 189-209.
22. Stoyanov, S., Rachev, S. (2008): Asymptotic distribution of the sample average Value-atRisk, Journal of Computational Analysis and Applications, 10, pp. 465-483.
23. Stoyanov, S., Rachev, S. (2008): Asymptotic distribution of the sample average Value-atRisk in the case of heavy-tailed returns, Journal of Applied Functional Analysis, 3, pp.
443-461.
24. Rachev, S., Jasik, T., Stoyanov, S., Fabozzi, F. (2007): Momentum strategies based on
reward-risk stock selection criteria, Journal of Banking and Finance, 31 (8), pp. 23252346.
25. Stoyanov, S., Rachev, S., Fabozzi, F. (2007): Optimal financial portfolios, Applied
Mathematical Finance, Volume 14, Issue 5, pp. 401-436.
26. Svetlozar T. Rachev, Stoyan V. Stoyanov, Chufang Wu, and Frank J. Fabozzi (2007):
Empirical analyses of industry stock index return distributions for the Taiwan stock
exchange, Annals of Economics and Finance, 8-1, pp. 21-31.
4
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
27. Samorodnitsky, G., Rachev, S. T., Jeong-Ryeol Kurz-Kim and Stoyanov, S. (2007):
Asymptotic distribution of unbiased linear estimators in the presence of heavy-tailed
regressors and residuals, Probability and Mathematical Statistics, 27, pp. 275-302.
28. Fabozzi, F., Racheva-Iotova, B., Stoyanov S. (2006): An empirical examination of the
return distribution characteristics of agency mortgage pass through securities, Applied
Financial Economics, 16, pp. 1085-1094.
29. Stoyanov, S., Samorodnitsky G., Rachev, S., Ortobelli, S. (2006): Computing the portfolio
Conditional Value-at-Risk in the α-stable case, Probability and Mathematical Statistics,
Vol.26, pp. 1-22.
30. Ortobelli, S., Rachev, S., Stoyanov, S., Fabozzi, F. and Biglova, A. (2005): The proper
use of risk measures in portfolio theory, International Journal of Theoretical and Applied
Finance, Vol. 8, No. 8 (December 2005), pp. 1–27.
31. Ortobelli, S., Biglova, A., Huber, I., Racheva-Iotova, B., Stoyanov S. (2005): Portfolio
choice with heavy-tailed distributions, Journal of Concrete and Applicable Mathematics,
Vol.3, No.3, pp. 353-376.
32. Biglova, A., Ortobelli, S., Rachev, S., Stoyanov S. (2004): Different approaches to risk
estimation in portfolio theory, Journal of Portfolio Management, Fall 2004, pp. 103-112.
33. Stoyanov S., Racheva-Iotova B. (2004): Univariate stable laws in the field of finance parameter estimation, Journal of Concrete and Applicable Mathematics, Vol.2, No.4, pp.
24-49.
34. Stoyanov S., Racheva-Iotova B. (2004): Univariate stable laws in the field of finance approximations of density and distribution functions, Journal of Concrete and Applicable
Mathematics, Vol.2, No.1, pp. 38-57.
35. Iordanov, I., Stoyanov, S. and Vassilev, A. (2004): Price dynamics in a two region model
with strategic interaction, in Mathematics and education in mathematics (Bulgarian), pp.
144-149, Union of Bulgarian Mathematicians, Sofia.
36. Woerner S., Racheva-Iotova B., Stoyanov S. (2002): Calibration of a basket option model
applied to company valuation, Mathematical Methods of Operations Research, 55, pp.
247-263.
Papers published/forthcoming in edited/contributed books
1. Stoyanov, S, Rachev, S. and Fabozzi, F. (2012): Average Value-at-Risk, Encyclopaedia of
Financial Models, Frank J. Fabozzi (editor), Wiley, vol 3. pp 331-348.
2. Stoyanov, S, Rachev, S. and Fabozzi, F. (2012): Value-at-Risk, Encyclopaedia of
Financial Models, Frank J. Fabozzi (editor), Wiley, vol 3. pp 319-330.
3. Rachev, S., Racheva-Iotova, B., Stoyanov, S., Fabozzi, F. (2010): Risk management and
portfolio optimization for volatile markets, The Handbook of Portfolio Construction:
Contemporary Applications of Markowitz Techniques, John Guerard, Jr. (editor),
Springer-Verlag, pp 493-511.
5
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
4. Sereda, E., Bronstein, E., Rachev, S., Fabozzi, F., Sun, W., Stoyanov, S. (2010):
Distortion risk measures in portfolio optimization, The Handbook of Portfolio
Construction: Contemporary Applications of Markowitz Techniques, John Guerard, Jr.
(editor), Springer-Verlag, pp 649-675.
5. Rachev, S., Martin, D., Racheva-Iotova, B., Stoyanov, S. (2009): Stable ETL optimal
portfolios & extreme risk management, G. Bol et al. (eds), Risk Assessment: Decisions in
Banking and Finance, Springer/Physika, pp. 235-262.
6. Stoyanov S., Rachev S., Fabozzi, F. (2008): Principles of optimization for portfolio
selection, Handbook of Finance vol 3, ed. Frank J. Fabozzi, pp 763-774.
7. Racheva-Iotova, B., Stoyanov S. (2008): Post-modern approaches for portfolio
optimization, the Handbook on IT and Finance, Seese-Weinhardt-Schlottmann (eds),
Springer-Verlag, pp 613-633.
8. Rachev, S., Stoyanov, S., Biglova, S., Fabozzi, F. (2005): An Empirical examination of
daily stock return distributions for U.S. stocks, Daniel Baier, Reinhold Decker, and Lars
Schmidt-Thieme (eds.) Data Analysis and Decision Support, Springer Series in Studies in
Classification, Data Analysis, and Knowledge Organization (Berlin: Springer-Verlag,
2005), pp. 269-281.
9. Stoyanov S., Racheva-Iotova B. (2004): Numerical methods for stable modeling in
financial risk management, Rachev, S., (Ed) Handbook of Computational and Numerical
Methods in Finance, Birkhauser, pp. 299-329.
10. Racheva-Iotova B., Stoyanov S., Rachev, S. (2003): Stable non-Gaussian credit risk
model; The Cognity approach, Bol et al (Eds), Credit Risk - Measurement, Evaluation and
Management, Springer, pp. 175-193.
11. Woerner S., Racheva-Iotova B., Stoyanov S. (2001): Modelling a biopharmaceutical
company as a compound option, Proceedings of the Conference on Modeling and Control
of Economic Systems. SME 2001, Klagenfurth, Austria, pp. 242-244.
Papers under review or forthcoming
Loh, L., S. Stoyanov (2013). Tail risk of Asian markets: an extreme value theory approach,
forthcoming as EDHEC Risk Institute publication.
Goltz, F., L. Martellini, and S. Stoyanov (2013) Analysing statistical robustness of crosssectional volatility, forthcoming as EDHEC Risk Institute publication.
Loh, L., L. Martellini, S. Stoyanov (2013) The local volatility factor for Asian stock markets.
forthcoming as EDHEC Risk Institute publication.
EDHEC-Risk Publications and working papers
Loh, L., L. Martellini, S. Stoyanov (2013) The relevance of country- and sector-specific
model-free volatility indicators, EDHEC-Risk Institute Publication (March).
6
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
Goltz, F. and S. Stoyanov (2012) The risks of volatility ETNs: A recent incident and
underlying issues. EDHEC-Risk Institute Publication (September).
Ducoulombier, F., L. Loh, and S. Stoyanov (2012) What asset liability management for
sovereign wealth funds? EDHEC-Risk Institute Publication (March).
Stoyanov S. (2011): Structured equity investment strategies for long-term Asian investors.
EDHEC-Risk Institute publication (August).
Amenc, N., F. Goltz, and S. Stoyanov. (2011). A post crisis perspective on diversification for
risk management. EDHEC-Risk Institute publication (May)
Stoyanov, S. (2011): A moment expansion of downside risk measures. Working paper
Stoyanov, S. (2013): Coherent moment-based approximations of risk functionals. Working
paper.
Books
Rachev, S., Stoyanov, S., Fabozzi, F., Advanced Stochastic Models, Risk Assessment and
Portfolio Optimization: The ideal Risk, Uncertainty and Performance Measures, Wiley,
Finance, New York (2008)
Rachev, S., Stoyanov, S., Fabozzi, F., A Probability Metrics Approach to Financial Risk
Measures, Blackwell-Wiley Publishing (2011).
Rachev, S. T., Klebanov, L., Stoyanov, S., Fabozzi, F., The Method of Distances in
Probability Theory and Statistics, Springer, NY, 2013
Stoyanov, S. S. Rachev, and F. Fabozzi, Optimal Portfolio Management in Highly Volatile
Markets, Scholar’s Press, 2013
Patents
Martellini, L., Goltz, F., and Stoyanov, S. System, Method and Computer Program Product
for Measuring Risk Levels in a Stock Market by Providing a Volatility, Skewness and
Kurtosis Index, Serial No.: 13/156,342, Publication number: US 2011/0307415 A1, Filed
June 9, 2011.
Rachev, S., Racheva-Iotova, B., Stoyanov, S., Martin, R. System and Method for Providing
Optimization of a Financial Portfolio Using a Parametric Leptokurtic Distribution, United
States Patent, Serial No.: 10/888,414, Filed July 9, 2004,Decket No.: 031/0424.US.UTL,
May, 2010.
Rachev, S., Racheva-Iotova, B., Stoyanov, S., Martin, R System and Method for Providing
Reallocation and Reverse Optimization of a Financial Portfolio Using a Parametric
Leptokurtic Distribution, United States Patent, U.S. Patent Trademark Office, Patent Number
7,890,409, February 15, 2011.
7
Professor Stoyan Veselinov Stoyanov, PhD, EDHEC Business School
TEACHING EXPERIENCE

State-of-the-Art Investment Management (in the Executive MSc Programme in Risk
and Investment Management of EDHEC Risk Institute (2011)).

Advanced Beta Investing (in the Executive MSc Programme in Risk and Investment
Management of EDHEC Risk Institute (2012)).

Risk Measurement and Management (in the Executive MSc Programme of EDHEC
Risk Institute (2012) and in the Part-Time MSc Programme in Risk and Investment
Management of EDHEC Business School (2012, 2013)).

Excel, VBA, and MATLAB for Finance (in the Part-Time MSc Programme in Risk
and Investment Management of EDHEC Business School (2012, 2013)).

Day 2 of the Investment Risk Management Seminar in Sydney, Australia, November
2011 in the executive education programme of EDHEC Risk Institute.
EDITORIAL BOARDS
Associate Editor, Studies in Economics and Finance
TECHNICAL SKILLS




Expert in MATLAB for research and prototyping
Java SE
Python
LaTeX.
LANGUAGES





Bulgarian – mother tongue
English – fluent
German – basic
Russian – basic
French – basic
INTERESTS



Distributed computing projects
Swimming
Long-distance running.
8