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For Immediate Release
Oldrich Vasicek, Founding Partner of Moody's KMV, Speaks at the Global Derivatives & Risk Management Conference
Presents Paper Regarding the Economics of Interest Rates
SAN FRANCISCO - May 10, 2006 - Moody's KMV, the world's leading provider of quantitative credit risk solutions to lenders, investors and corporations, today announced that Oldrich Vasicek, one of the founding partners of Moody's KMV as well as a Special Advisor to the Company, presented at the 12th Annual Global Derivatives Trading & Risk Management Conference on May 9th in Paris. Mr. Vasicek presentation was highlighted during the first ever Global Derivatives & Risk Management 2006 Hall of Fame stream, where leading derivatives practioners delivered expert advice on derivatives and risk management.
In conjunction with the presentation, Mr. Vasicek profiled a paper he authored titled 'The Economics of Interest Rates.' The paper examines how interest rates impact the behavior of investors given production variables in the economy, specifically the state of technology. Throughout his career, Mr. Vasicek has published over 30 articles in financial and mathematical journals and has received multiple honors including: The Graham and Dodd Award, the Roger F. Murray Prize, the Award of the Institute for Quantitative Research in Finance and the Risk Magazine Lifetime Achievement Award.
"Each participant in an economy aims to maximize utilities of consumption while accommodating a constant relative risk aversion. The degrees of risk aversion, as well as the time preference functions, differ across participants," said Oldrich Vasicek, a Special Advisor to Moody's KMV. "The participants may lend and borrow among themselves, either at a floating short rate, or by issuing or buying term bonds. We derive conditions under which such an economy is in equilibrium, and obtain equations determining interest rates."
Mr. Vasicek co-founded KMV and is now advising Moody's KMV on various issues involving quantitative credit risk. In addition to the numerous awards he has received over the span of his career, Mr. Vasicek was inducted into the Derivatives Strategy Hall of Fame, the Fixed Income Analysts Society Hall of Fame and the Risk Hall of Fame. His equilibrium model of the term structure of interest rates is generally recognized as a genesis of this field in finance. He holds a Ph.D. in probability theory from Charles University in Prague.
The 12th Annual Global Derivatives & Risk Management conference includes speakers, workshops and other events addressing cutting-edge innovations in derivatives pricing, hedging, trading and portfolio management.
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