Oldřich Alfons Vašíček (; born 1942) is a Czech mathematician and quantitative analyst,
best known describing the dynamics of the yield curve, appeared in the Journal of Financial Economics in 1977. The mean-reverting short-rate model he describes is commonly known as the Vasicek model.
In recognition of the above paper, and subsequent work, the International Association of Financial Engineers named Vašíček its IAFE/Sungard Financial Engineer of the Year, in 2004.
Vašíček has also received the Risk magazine 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.
His 1987 paper Probability of Loss on Loan Portfolio was included in the book Derivatives Pricing: The Classic Collection, a selection of the "19 most influential papers" on quantitative finance.
In 1989 Stephen Kealhofer, John McQuown and Oldřich Vašíček founded the company KMV. In 2002 the three entrepreneurs sold the company to Moody's for $210 million. In 2007, Moody's KMV was renamed to Moody's Analytics.
Vašíček plays the flute and is an avid windsurfer. He has three sons, one of whom is the screenwriter John Vasicek.
See also
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- Short rate model
- Vasicek model
- KMV model