BISAM Insights Blog

Dr. Boryana Racheva-Iotova, Global Head of Risk, BISAM

Boryana is co-founder of FinAnalytica, including Cognity, the award-winning, multi-asset class market risk solution. She has over 15 years of experience in building risk management software solutions and translating the latest risk-related academic advancements into practical applications to meet the needs of buy-side practitioners. Before founding FinAnalytica, Boryana led the implementation of a Monte-Carlo based VaR calculation and structured products valuation engine to meet the Basel II Requirements at SGZ Bank. Her professional career in risk management began with the Bulgarian Finance Minister, developing a model for banks’ capital requirement estimation. Boryana’s numerous articles have been published by premier scientific journals, and she has led the development of six patented methodologies for FinAnalytica. She holds M. Sc. in Probability and Statistics at the Faculty of Mathematics and Informatics, Sofia University, and Doctor of Science degree, magna cum laude from Ludwig Maximilian University of Munich.
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Recent Posts

Brexit Study - Augmenting Subjective Stress to Design a Risk Model with Brexit "Mutation Genes"

Posted by Dr. Boryana Racheva-Iotova, Global Head of Risk, BISAM on Jun 21, 2016 4:47:05 PM

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A “leave” vote in the British EU referendum will not leave any market unshaken and could have a profound impact on many multi-asset class portfolios. While there are many unknowns, there are some things we can be sure of: trading will be rapid and volatility will rise. With this in mind, the risks in multi-asset class portfolios need to be very well understood in order to prevent large unexpected losses.

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Topics: Risk Management

Snapshot: Market Turbulence Across the MSCI World Index™

Posted by Dr. Boryana Racheva-Iotova, Global Head of Risk, BISAM on Mar 15, 2016 10:19:48 AM

Last week we mentioned the concept of measuring market turbulence as an additional risk indicator. One approach for assessing the level of turbulence is to look at the difference in the tail (possibility for extreme events) as measured by the Normal VaR (or ETL) and the Cognity Fat-tailed VaR (or ETL) model. In the case of “normal” markets (i.e. no excess probability of extreme events), the two approaches would coincide. Widening of that spread shows increasing market turbulence, and - associated with that - increasing probability of extreme events.

To analyze the current market environment, we typically look at different markets and factors comparing the current Fat-tailed versus Normal VaR spread for each one of the segments to the average values observed during various important historical periods.

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Topics: Daily Risk Statistics, Risk Management