Radosław Pietrzyk

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• DSc
• Professor at Wroclaw University of Economics and Business

We explore the application of spectral methods in risk management as means of validating VaR models. We propose to replace earlier spectral VaR tests with the test based on the Anderson–Darling statistic. Based on assumptions relevant to VaR failure analysis, we experimentally prove that the Anderson–Darling spectral test displays strong power to r...

The study aims to assess the relationship between governance effectiveness, measured by the Worldwide Governance Indicators, and the use of green bonds worldwide. We apply panel data models with random effects and a robust linear regression model that allows us to identify the impact of the family of variables on green bonds. We found a statistical...

The development of cryptocurrencies was the consequence of the endeavours of some circles of computer scientists associated with anarchist views to create a medium of exchange that would be decentralised, independent from institutions creating monetary policy, governments and politicians, and whose functioning would not require any clearing institu...

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...

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...

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...

This paper presents a method of economic factorial analysis based on the Divisia index extended to interconnected factors. We verify the applicability of the presented method to financial market research by examining fluctuations of the Warsaw Stock Exchange WIG Index (WIG). We consider four main factors of WIG changes: the GDP growth, the PLN/EUR...

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...

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...

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...

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...

Wysokość odszkodowania, które powinna otrzymać osoba poszkodowana, składa się z kilku elementów. Jednym z nich, gdy poszkodowany nie jest zdolny do pracy, jest wysokość dochodów, które utracił. Aby odszkodowanie było dobrze ustalone, warto posłużyć się w jego ustalaniu wartością pieniądza w czasie i dynamiką wzrostu wynagrodzeń w sektorze, w którym...

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...

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...

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...

Artykuł nie zawiera abstraktu w języku polskim

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...

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...

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...

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...

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...

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...

Performance analysis of mutual funds is a very important theoretical and practical issue. There is no consensus on the market, which methods of investment performance should be used. This study examines performance of Polish mutual funds between 2001 and 2013. The mutual fund data set contains returns of Polish equity funds having at least 80% of t...

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...

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...

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...

The main purpose of this paper is to present a theoretical discussion on performance evaluation of household investment portfolio. In order to do that, preferences of households need to be taken into account, which can be expressed by an appropriate utility function. Performance measures used in the market are strongly focused on linear models such...

This study examines the performance of Polish mutual and pension funds investing between 2001 and 2013. The performance will be assessed as an additional rate of return above the rate of return of passive managed portfolio. The additional rate of return may have different sources. Market timing models are used to assess the market timing and stock...

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...

The main purpose of this article is a theoretical discussion about performance evaluation from the point of view of households, because presented method takes risk aversion into account. Households, characterized by an increasing and concave utility function, expect a non-linear increase of the expected rate of return in exchange for the extra risk...

Performance analysis of pension funds in Poland is a very important theoretical and practical issue. There is no consensus on the market which methods of investment performance should be used. The statutory measure is believed to be inadequate. This study examines the performance of Polish pension funds using three approaches. The first is a compar...

Celem artykułu jest analiza efektywności 8 polskich funduszy akcyjnych w latach 2000-2011. Model Bhattacharya-–Pfleiderera jest wykorzystywany do oceny umiejętności zarządzających dotyczących doboru papierów wartościowych do portfela oraz wyczucia trendów rynkowych. Szacowane parametry tych modeli są statystycznie istotne, a modele są dobrze dopaso...

This study examines the returns on the Warsaw Stock Exchange and NewConnect between 2007 and 2011. The Warsaw Stock Exchange and NC indices as well as companies listed by sector on both markets have been compared. This article also discusses the investment risk of the tested financial instruments and indices.

Celem artykułu jest analiza efektywności 8 polskich funduszy akcyjnych w latach 2000-2011. Modele CAPM i Henrikssona-Mertona są wykorzystywane do oceny umiejętności zarządzających doboru papierów wartościowych do portfela oraz wyczucia trendów ryn-kowych . Szacowane parametry tych modeli są statystycznie istotne, a modele są dobrze dopasowane. Bada...

In this paper a study on measuring Expected Shortfall (ES) has been carried out. Expected shortfall is a tail-related risk measure, which is defined, as the expected size of loss that exceeds Value at Risk. ES is a supplementary measure for VaR. The peaks over threshold method provides a simple tool for estimating measures of tail risk like ES. In...

This study examines the performance of 14 Polish equity funds investing between 2001 and 2011. Fama decomposition and Henriksson-Merton model are used to assess the market timing, diversification and stock selection abilities of mutual fund managers. Most of the estimated parameters of these models are statistically significant and the models are w...

Alternatywne systemy obrotu są tworzone przez tradycyjne giełdy papierów wartościowych, aby przyciągnąć mniejsze podmioty, które mają potencjał wzrostu, ale nie spełniają wymagań dopuszczenia na główne rynki giełd. NewConnect powstał w 2007 r. na wzór działających już w Europie rynków alternatywnych. Celem artykułu jest pokazanie rozwoju ASO w Pols...

In this paper a study on measuring Expected Shortfall (ES) has been carried out. Expected shortfall is a tail-related risk measure, which is defined, as the expected size of loss that exceeds VaR. ES is a supplementary measure for VaR. The peaks over threshold method provides a simple tool for estimating measures of tail risk like ES. In the last...