Stefan Mittnik

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.

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.

Mittnik became dean of Kiel University's Faculty of Economic and Social Sciences on 1 August 2001 and was still serving in the position in March 2002.

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, a fellow of the Center for Financial Studies in Frankfurt and the CESifo Research Network, and an affiliated researcher at Texas Tech University.

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 discussed early work by Benoît Mandelbrot on limitations of the normal distribution in finance and the use of 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 macro-financial links, including financial stress effects on the real economy and climate-disaster risk modelling.

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