By Nina Mehta
Financial Engineering News, May 2005
Oldrich Alfons Vasicek, a mathematician, is one of the leading lights in modern finance. His 1977 paper, “An Equilibrium Characterization of the Term Structure,” described the behavior of interest rates across maturities and paved the way for the development of the interest rate derivatives market. He is one of the co-founders of KMV Corp., the granddaddy of credit risk modeling firms, which Moody's Investors Service bought in 2002 (and renamed Moody's KMV). Throughout his career Vasicek has been at the forefront of credit risk modeling. Earlier this year he increased his stockpile of awards when he was named the 2004 IAFE/SunGard Financial Engineer of the Year. The author of more than 30 papers in mathematical and finance journals, Vasicek received a PhD in probability theory from Charles University in Prague, in what is now the Czech Republic, in 1968. This interview was conducted in February.