While finance was always a practical choice for Boryana Racheva-Iotova, director of risk research, FactSet, who holds an MSc in probability and statistics from Sofia University and a Doctor of Science degree in statistics, for which she graduated magna cum laude from Ludwig-Maximilian University of Munich, it wasn’t the source of the inspiration that powers her numerous and august achievements. That, she says, is something entirely different: “It always was and continues to be to take something from the world of ideas and make it real, visible. So, I have found a way to apply that in this domain,” she says.
This philosophy is evident through her career—as the CEO and founder of Bravo Risk Management Group, later acquired by FinAnalytica, she built Cognity, the first market-ready risk platform that incorporates the modeling of fat-tail events. The system is currently in use at a number of institutions, including the French asset-management giant Natixis.
FinAnalytica was later acquired by BISAM, and Racheva-Iotova worked closely with its then-CEO, Bill Haney, until the firm’s recent acquisition in March 2017 by FactSet. There, she currently serves as the firm’s director of risk research, and has been published in a range of notable journals, including The Journal of Portfolio Management and Annals of Operational Research, and has contributed chapters to a number of books on risk management.
With over 15 years’ experience, Racheva-Iotova sees distinct challenges ahead in risk management. The shift to passive investing and the proliferation of algorithmic strategies are two key areas, along with the introduction of artificial intelligence and machine learning.
“The market is not fundamentally driven anymore, at least on short- to mid-term horizons. Models need to be augmented to stay representative for this environment,” she argues. “On the pure modeling side, complexity rises as well. For example, ideally you need different model characteristics for the different investment horizons on both factors, as well as the probabilistic model side.”
Looking further ahead, future projects will focus on integration work between FactSet’s native risk solutions and Cognity’s capabilities. But on the pure research side, she says, she is “quite interested in exploring bridges between behavioral theory and quant finance.”
Through her career, Racheva-Iotova says she has had “invaluable” time with a range of people who have helped shape her career so far, but cites two in particular for special mention. “My father was and continues to be a role model for me with his dedication to knowledge, and my mother, with her truthfulness and devotion,” she says.
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