Pawel Rokita

Pawel Rokita
Wroclaw University of Economics and Business | WUE

PhD

About

35
Publications
3,027
Reads
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89
Citations
Citations since 2016
9 Research Items
48 Citations
201620172018201920202021202202468101214
201620172018201920202021202202468101214
201620172018201920202021202202468101214
201620172018201920202021202202468101214
Introduction
Pawel Rokita currently works at the Department of Financial Investments and Risk Management, Wroclaw University of Economics. Pawel does research in Finance. Their current project is 'Integrated model of risk in household life cycle'.

Publications

Publications (35)
Article
Full-text available
span style="font-family: TimesNewRomanPSMT; font-size: 9pt; color: #231f20; font-style: normal; font-variant: normal;">Konstrukcja planu fiansowego dla gospodarstwa domowego wymaga wzięcia pod uwagę wielu czynników ryzyka, które determinują kształtowanie przyszłej ścieżki dochodów i wydatków gospodarstwa domowego. Czynniki te mogą mieć bardzo różną...
Chapter
Binary options are popular instruments, especially in non-regulated financial markets. Determination of adequate capital, if performed in compliance with binding legal regulations on own funds requirements, may be seriously misleading. This is particularly the case of short-term binary options. The aim of this article is to discuss critically the e...
Article
Full-text available
The structure of incomes and expenses, including their division into those that may be individually assigned to the members of the household, should be analyzed in the process of household finance management. The aim of this article is to propose methods that would make it possible to identify and isolate individual and common consumption. The seco...
Conference Paper
Full-text available
This article presents a concept of household financial plan integrated risk measures with short-term and long-term approach to financial plan risk mitigation combined in one procedure. Short-term and long-term risk measures, based on household default probability, are introduced. Then, two approaches to their application in financial plan managemen...
Article
Full-text available
This article presents an original proposal of a two-person household financial plan optimization model, with a special emphasis on the retirement goal. The concept allows for relatively easy augmenting of the model, by adding more goals to it, as well as introducing new types of risk. The model does not require any sophisticated estimation of param...
Article
Full-text available
Measures of risk suited to the life-long financial plan of a household differ from other popular risk measures. When discussing a risk variable that would incorporate exposures to all significant types of risk, a natural choice for a financial institution would be value (e.g. of a portfolio), and, for enterprises, it would be, for instance, net inc...
Chapter
The article presents a concept of two-person household model with an original approach to expressing life-length risk aversion, allowing, at the same time, to simplify financial plan optimization. The technique uses (with improvements and corrections) concepts introduced in some earlier works by the authors, but it has not been presented so far as...
Article
Full-text available
A measure of risk that is well suited to a lifelong financial plan of a household shell differ from other popular risk measures, which have originally been constructed for financial institutions, investors or enterprises. It should address threats to accomplishment of the household's life objectives and must take into account its life cycle. The au...
Article
Full-text available
In household financial planning two types of risk are typically being taken into account. These are life-length risk and risk connected with financing. In addition, also various types of events of insurance character, like health deterioration, are sometimes taken into account. There are, however, no models addressing stochastic nature of household...
Article
Full-text available
The issue of life-long financial planning for a household is discussed here. Unlike single indi-vidual case, pretty thoroughly investigated by researchers in the area of personal finance so far, models of household finance have been until recently in the early phase of common sense rules on budget construction, rather than long term financial plann...
Article
This article presents a model allowing to analyze in a convenient way, also in a graphical form, the influence of life-length risk transfer within a household on its ability to participate in pension-related capital market. This exploits the well-known property (at least since the research by Kotlikoff and Spivak of early 1980’s) that longevity ris...
Conference Paper
Full-text available
In this article there is used a discrete-time, cash-flow based, two-person household financial plan optimization model, presented earlier by Feldman, Pietrzyk and Rokita and Pietrzyk and Rokita. It is shown by an example that the model captures internal transfer of life-length risk within a household (sharing risk of longevity and premature death b...
Conference Paper
Full-text available
Long term financial planning for a household is aimed at preservation of desired life standard in the whole life cycle, including retirement, under the constraint that realization of other goals is also provided for. The possibility of achieving this depends, however, on a number of stochastic factors. They may be of different nature, and, therefor...
Article
This article presents a concept on how to infer some information on household preference structure from expected trajectory of cumulated net cash flow process that is indicated by the household members as the most acceptable variant. Under some assumptions, financial planning style implies cumulated surplus dynamics. The reasoning may be inverted t...
Conference Paper
Abstract This article shows how internal transfer of life-length risk between household members may influence their ability to participate in pension-related capital market. The approach is based on a model of two person household (or a household with two decision makers if more household members are considered). An original proposition of life-len...
Conference Paper
Full-text available
Every household during its life cycle realizes several financial goals. The most important are usually the following five: retirement, buying a house, bringing up children, funding their education and leaving a bequest. These goals are characterized by different realization terms and magnitudes. Most households would not be able to afford financing...
Chapter
Full-text available
W artykule zaprezentowane zostały modele przepływów pieniężnych gospodarstwa domowego zaspokajających cel emerytalny przy różnym poziomie awersji do ryzyka długowieczności. Podstawą analizy jest spostrzeżenie, iż cel emerytalny gospodarstwa domowego może (ale nie musi) mieć mniejszą wartość niż suma celów emerytalnych osób prowadzących odrębne jedn...
Article
Full-text available
This article proposes a technique of facilitating life-long financial planning for a household by finding the optimal match between systematic investment products and multiple financial goals of different realization terms and magnitudes. This is a multi-criteria optimization. One of the objectives is compliance between the expected term structure...
Article
Full-text available
This article presents a proposition of facilitating household financial plan optimization, with particular focus on retirement planning. There is discussed a skeleton of a flexible and extensible financial planning framework, which is moreover intuitive and not very demanding in the sense of input-data requirements. Its main functionalities are ill...
Article
Title: Does dependence between extreme losses increase during a crisis? Analysis of changes in asymptotic dependence of stock returns for the case of international financial system crisis in the years 2007-2008 Abstract: Some empirical studies presented in literature give evidence for the thesis that in periods of market downturns, particularly if...
Article
Full-text available
Wraz z rozwojem takich obszarów badawczych w ramach finansów, jak finanse behawioralne, neurofinanse, finanse eksperymentalne, czy finanse obliczeniowe, coraz wyraźniej zaczęto dostrzegać niedostatki klasycznych modeli opartych na hipotezie rynku efektywnego. Zwłaszcza badania w zakresie finansów behawioralnych dostarczyły dowodów na nieracjonalnoś...
Conference Paper
Full-text available
Classical portfolio diversification methods do not take account of any dependence between extreme returns (losses). Many researchers provide, however, some empirical evidence for various assets that extreme-losses co-occur. If the co-occurrence is frequent enough to be statistically significant, it may seriously influence portfolio risk. Such effec...
Article
Artykuł ten dotyczy ryzyka portfeli, których składniki wykazują własność współwystępowania nietypowo wysokich strat. Rozpatrywana jest możliwość wykorzystania dwóch rodzajów modeli przy szacowaniu wartości zagrożonej: statycznego z ekstremalną zależnością i procesu stochastycznego ze zmienną warunkową kowariancją (M-GARCH). Celem jest porównanie mo...
Article
Title: Extreme value dependence estimation for stock-investment losses in Poland and some other markets Abstract: This paper reports on some research in extreme-value dependence for returns of WIG20 index (the index comprising stocks of the 20 biggest companies in Warsaw Stock Exchange) and relative indices of some other markets. Asymptotic depend...
Article
Założenia klasycznej teorii portfela Markowitza znacznie ułatwiają ana-lizę portfela, a więc również jego ryzyka. Są to jednak założenia bardzo mocne. Jednym z najważniejszych jest założenie o wielowymiarowym rozkładzie nor-malnym stóp zwrotu. Liczne badania (por. np. Zangari 1996, Rejman 1997, Bauer 2000, Malevergne 2001, Consiglio i in. 2002) pok...
Article
Full-text available
Title: Modeling portfolio risk with multivariate Archimedean copulas – Polish stock market example Abstract: This paper presents an extension of bivariate Archimedean-copula-based VaR model to support analysis of portfolios with any number of components. Some empirical results for stock portfolios from the Warsaw Stock Exchange are presented in th...
Article
Full-text available
Title: Application of asymptotic tail independence concept in the analysis of extreme value dependence between selected stock indices Abstract: This paper presents an empirical analysis of asymptotic tail independence for bivariate stock-index return distributions. Returns from the WIG20 index and some selected indices of the leading stock market...
Article
Title: Measuring risk of internationally diversified portfolios using copulas and extreme-value theory Abstract: This paper addresses the problem of modeling risk of internationally diversified stock portfolios. According to the results of other published researches, it is assumed that the models applied here should allow for fat tails, as well as...
Article
Title: Calculating Market Risk Charges for a Stock Portfolio – Standardized Approach vs. VaR Method Abstract: Banks in Poland use at present the so-called standardized method of calculating regulatory capital charge for market risk. However, some leading banks have already developed their own VaR based risk measurement systems for internal use. If...
Article
Title: Financial Risk Analysis Regarding Stressful Events – Discussion about Main Theoretical Approaches and Empirical Examples from Polish Market Abstract: It is commonly recognized that there are two general objectives of the risk management in a financial institution. The first one is preserving the firm’s capital. The second one is efficient l...

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Projects (4)
Project
The project goal is to incorporate the risk measurement into the optimization problem, which is based on the constraints imposed on the two quantities (i.e., on household default probability in a short run and on household default probability in life-time perspective). The approach is then compared with proposals that do not require direct measurement of integrated household risk at the stage of financial plan optimization.