Stefan Mittnik

Mittnik earned a degree in industrial engineering from the Technical University of Berlin in 1981, followed by an MA in development economics from the University of Sussex. He received a PhD in economics and applied mathematics from Washington University in St. Louis in 1987. == Academic career ==

After receiving his PhD in 1987, Mittnik taught at Stony Brook University in New York. In 1994, he moved to Kiel University, where he held the chair in statistics and empirical economics before moving to LMU Munich in 2003. By 2002, Mittnik was dean of the Faculty of Economic and Social Sciences at Kiel University. In 2003, Mittnik moved to LMU Munich as professor of financial econometrics, where he also served as coordinator of the Center for Quantitative Risk Analysis (CEQURA). He is listed as a professor emeritus of LMU Munich and as a network member of CESifo. He was dean of the Faculty of Mathematics, Computer Science and Statistics in 2006 and 2007. Mittnik was elected to the German Research Foundation's review board for statistics and econometrics in 2003 and again in 2007. In 2008, the Deutsche Bundesbank appointed him to its research council. == Research ==

Mittnik's research has focused on econometrics, time series analysis, empirical finance, and risk management. A recurring theme in his work has been the use of heavy-tailed and other non-Gaussian models for financial data. In a 2014 interview, Mittnik said that Benoît Mandelbrot had identified early on the limitations of applying the normal distribution to financial returns and had pointed to stable distributions as an alternative framework. His publications have addressed stable distributions for asset returns, fat tails in financial return data, downside-risk forecasting, portfolio optimization under heavy-tailed risk factors, and option pricing under fat tails and asymmetric dependence. His later work also examined broader macro-financial questions, including the effects of financial stress on the real economy and the macroeconomics of climate-disaster risk. == Scalable Capital ==

In 2014, Mittnik co-founded Scalable Capital. In a 2018 interview, co-founder Erik Podzuweit said that Mittnik helped develop the company's investment algorithm and recruit early members of its financial-engineering team. As of 2019, Mittnik held a 5.5% stake in Scalable Capital. ==References==