Oldřich Alfons Vašíček (; born 1942) is a

Czech Czech may refer to: * Anything from or related to the Czech Republic, a country in Europe ** Czech language ** Czechs, the people of the area ** Czech culture ** Czech cuisine * One of three mythical brothers, Lech, Czech, and Rus' Places *Czech, ...

mathematician and

quantitative analyst Quantitative may refer to: * Quantitative research, scientific investigation of quantitative properties * Quantitative analysis (disambiguation) * Quantitative verse, a metrical system in poetry * Statistics, also known as quantitative analysis ...

, best known for his pioneering work on interest rate modelling; see

Vasicek model In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements as driven by only one source of market risk. The model can be u ...

. Vašíček received his master's degree in math from the

Czech Technical University Czech Technical University in Prague (CTU, cs, České vysoké učení technické v Praze, ČVUT) is one of the largest universities in the Czech Republic with 8 faculties, and is one of the oldest institutes of technology in Central Europe. It ...

, 1964, and a doctorate in probability theory from

Charles University ) , image_name = Carolinum_Logo.svg , image_size = 200px , established = , type = Public, Ancient , budget = 8.9 billion CZK , rector = Milena Králíčková , faculty = 4,057 , administrative_staff = 4,026 , students = 51,438 , undergr ...

four years later. After the

Soviet invasion of Czechoslovakia The Warsaw Pact invasion of Czechoslovakia refers to the events of 20–21 August 1968, when the Czechoslovak Socialist Republic was jointly invaded by four Warsaw Pact countries: the Soviet Union, the Polish People's Republic, the People's Rep ...

in 1968, he defected to America, settled in

San Francisco San Francisco (; Spanish language, Spanish for "Francis of Assisi, Saint Francis"), officially the City and County of San Francisco, is the commercial, financial, and cultural center of Northern California. The city proper is the List of Ca ...

, and found employment in the management science department of

Wells Fargo Wells Fargo & Company is an American multinational financial services company with corporate headquarters in San Francisco, California; operational headquarters in Manhattan; and managerial offices throughout the United States and intern ...

Bank in January 1969. In 1989 Stephen Kealhofer, John McQuown and Oldřich Vašíček founded company KMV. In 2002 the three entrepreneurs sold the company to

Moody's Moody's Investors Service, often referred to as Moody's, is the bond credit rating business of Moody's Corporation, representing the company's traditional line of business and its historical name. Moody's Investors Service provides international ...

for $210 million. In 2007, Moody's KMV was renamed to

Moody's Analytics Moody's Analytics is a subsidiary of Moody's Corporation established in 2007 to focus on non-rating activities, separate from Moody's Investors Service. It provides economic research regarding risk, performance and financial modeling, as well as ...

. In 1970, Wells Fargo sponsored a conference that included

Fischer Black Fischer Sheffey Black (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the authors of the Black–Scholes equation. Background Fischer Sheffey Black was born on January 11, 1938. He graduated from Harvard ...

and

Myron Scholes Myron Samuel Scholes ( ; born July 1, 1941) is a Canadian-American financial economist. Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford Graduate School of Business, Nobel Laureate in Economic Sciences, and co-origina ...

, who had just begun thinking seriously about the problem of valuing

stock options In finance, an option is a contract which conveys to its owner, the ''holder'', the right, but not the obligation, to buy or sell a specific quantity of an underlying asset or instrument at a specified strike price on or before a specified date ...

. Of course, their paper on that subject, timed so as to coincide with a related paper by

Robert C. Merton Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especia ...

, would revolutionize

financial economics Financial economics, also known as finance, is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade".William F. Sharpe"Financial ...

three years later. Even their preliminary thoughts at the 1970 conference excited Vašíček, who soon made related issues his own life's work. Vašíček's own breakthrough paper, "An equilibrium characterization of the term structure" describing the dynamics of the

yield curve In finance, the yield curve is a graph which depicts how the yields on debt instruments - such as bonds - vary as a function of their years remaining to maturity. Typically, the graph's horizontal or x-axis is a time line of months or ye ...

, appeared in the

Journal of Financial Economics The ''Journal of Financial Economics'' is a peer-reviewed academic journal published by Elsevier, covering the field of finance. It is considered to be one of the premier finance journals. According to the ''Journal Citation Reports'', the journa ...

in 1977. The mean-reverting

short-rate model A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,. The short rate Under a sh ...

he describes is commonly known as the

. In recognition of that paper, and subsequent work, the

International Association of Financial Engineers The International Association for Quantitative Finance (IAQF), formerly the International Association of Financial Engineers (IAFE), is a non-profit professional society dedicated to fostering the fields of quantitative finance and financial engin ...

named Vašíček its IAFE/Sungard Financial Engineer of the Year, in 2004. Vašíček has also received the

Risk magazine ''Risk'' magazine provides news and analysis covering the financial industry, with a particular focus on risk management, derivatives and complex finance. It includes articles and papers on credit risk, market risk, risk systems, swap option pr ...

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 Vašíček's paper ''Probability of Loss on Loan Portfolio'' in the book ''Derivatives Pricing: The Classic Collection'', which was marketed as a selection of 19 most influential papers on quantitative finance.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) He plays the flute and is an avid windsurfer. He has three sons, one of whom is the screenwriter John Vasicek.

Notes

{{DEFAULTSORT:Vasicek, Oldrich 1942 births Living people Financial economists American people of Czech descent Place of birth missing (living people) Czech Technical University in Prague alumni Czech mathematicians People from Prague Charles University alumni Czech exiles Czech emigrants to the United States

See also

Notes