Stefan Mittnik

Stefan Mittnik
Alma materTechnical University of Berlin
University of Sussex
Washington University in St. Louis
Known forResearch in financial econometrics, heavy-tailed distributions, financial risk modelling, and co-founding Scalable Capital
Scientific career
FieldsEconometrics, financial econometrics, time series analysis, risk management
WorkplacesLMU Munich
Kiel University
Stony Brook University
Thesis (1987)

Stefan Mittnik is a German economist and econometrician. From 2003 until his retirement in 2020, he held the Chair of Financial Econometrics at LMU Munich, where he also coordinated the Center for Quantitative Risk Analysis (CEQURA). His work has focused on econometrics, empirical finance, time-series analysis, and financial risk management. He is a co-founder of Scalable Capital, a German digital investment platform.

Education

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.[1][2][3]

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.[4][5]

By 2002, Mittnik was dean of the Faculty of Economic and Social Sciences at Kiel University.[6]

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.[7][8][9]

He was dean of the Faculty of Mathematics, Computer Science and Statistics in 2006 and 2007.[10][11]

Mittnik was elected to the German Research Foundation's review board for statistics and econometrics in 2003 and again in 2007.[12][13] In 2008, the Deutsche Bundesbank appointed him to its research council.[14]

Research

Mittnik's research has focused on econometrics, time series analysis, empirical finance, and risk management.[7][15]

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 discussed early work by Benoît Mandelbrot on limitations of the normal distribution in finance and the use of stable distributions as an alternative framework.[16]

His publications have addressed stable distributions for asset returns,[17] fat tails in financial return data,[18] downside-risk forecasting,[19] portfolio optimization under heavy-tailed risk factors,[20] and option pricing under fat tails and asymmetric dependence.[21]

His later work also examined macro-financial links, including financial stress effects on the real economy and climate-disaster risk modelling.[22][23]

Scalable Capital

In 2014, Mittnik co-founded Scalable Capital.[24] 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.[25] As of 2019, Mittnik held a 5.5% stake in Scalable Capital.[26]

References

  1. ↑ "Interview mit Stefan Mittnik". Springer Professional (in German). 2023-03-09. Retrieved 2026-03-28.
  2. ↑ "Stefan Mittnik". IDEAS/RePEc. Retrieved 2026-03-29.
  3. ↑ "Stefan Mittnik". Texas Tech University. Archived from the original on 15 February 2025. Retrieved 2026-03-28.
  4. ↑ "Stefan Mittnik". IDEAS/RePEc. Retrieved 2026-03-29.
  5. ↑ "Tätigkeitsbericht 2003-2006" (PDF). Institute of Statistics and Econometrics, University of Kiel (in German). Retrieved 2026-03-29.
  6. ↑ "Studienordnung Wirtschaft/Politik Erste Staatsprüfung Lehramt Gymnasien" (PDF). University of Kiel (in German). Retrieved 2026-03-29.
  7. 1 2 "Prof. Stefan Mittnik, PhD". LMU Munich. Retrieved 2026-03-29.
  8. ↑ "Stefan Mittnik (Coordinator)". Center for Quantitative Risk Analysis, LMU Munich. Retrieved 2026-03-29.
  9. ↑ "Professor Emeritus Stefan Mittnik". CESifo. Retrieved 2026-03-29.
  10. ↑ "Professor Dr. Horst Osswald". LMU Munich (in German). Retrieved 2026-03-29.
  11. ↑ "Prof. Dr. Bodo Pareigis". LMU Munich (in German). Retrieved 2026-03-29.
  12. ↑ "Wahlergebnis 2003" (PDF). German Research Foundation (in German). Retrieved 2026-03-28.
  13. ↑ "Endgültiges Wahlergebnis der Fachkollegienwahl 2007" (PDF). German Research Foundation (in German). Retrieved 2026-03-28.
  14. ↑ Annual Report 2008 (PDF) (Report). Deutsche Bundesbank. 2009. Retrieved 2026-03-28.
  15. ↑ Faculty 16 "Mathematics, Informatics and Statistics": Research Report 1998-2003 (Report). LMU Munich. 2004. Retrieved 2026-03-28.
  16. ↑ "Interview mit Stefan Mittnik: Eine Zahl ist besser als keine ..." RiskNET (in German). 2014-02-17. Retrieved 2026-03-28.
  17. ↑ Mittnik, Stefan; Rachev, Svetlozar T. (1989). "Stable distributions for asset returns". Applied Mathematics Letters. 2 (3): 301–304. doi:10.1016/0893-9659(89)90074-8.
  18. ↑ Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. (2000). "Diagnosing and treating the fat tails in financial returns data". Journal of Empirical Finance. 7 (3–4): 389–416. doi:10.1016/S0927-5398(00)00019-0.
  19. ↑ Mittnik, Stefan; Paolella, Marc S. (2003). "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions". In Rachev, Svetlozar T. (ed.). Handbook of Heavy Tailed Distributions in Finance. Elsevier. pp. 384–404. doi:10.1016/B978-044450896-6.50011-X.
  20. ↑ Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan (2007). "Portfolio optimization when risk factors are conditionally varying and heavy tailed". Computational Economics. 29: 333–354. doi:10.1007/s10614-006-9071-1.
  21. ↑ Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho (2015). "Quanto option pricing in the presence of fat tails and asymmetric dependence". Journal of Econometrics. 187 (2): 512–520. doi:10.1016/j.jeconom.2015.02.035.
  22. ↑ Mittnik, Stefan; Semmler, Willi (2013). "The real consequences of financial stress". Journal of Economic Dynamics and Control. 37 (8): 1479–1499. doi:10.1016/j.jedc.2013.04.014.
  23. ↑ Mittnik, Stefan; Semmler, Willi; Haider, Alexander (2020). "Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model". Econometrics. 8 (3): 33. doi:10.3390/econometrics8030033. hdl:10419/247581.
  24. ↑ "About us". Scalable Capital. Retrieved 2026-03-28.
  25. ↑ Tischer, Simon (2018-03-21). "Scalable Capital: Algorithm-driven investment". Munich Startup. Retrieved 2026-03-28.
  26. ↑ "Scalable Capital: Who's who on the cap table". Munich Startup. 2019-02-19. Retrieved 2026-03-28.
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