mdec

Marcin
Dec

Doktorant, Szkoła Główna Handlowa, Kolegium Analiz Ekonomicznych

PhD Student, Warsaw School of Economics, Collegium of Economic Analysis




http://www.grape.org.pl/sites/default/files/user/CV_MarcinDec_Grape_Inference_0.pdf

Opublikowane | Published

  • From point through density valuation to individual risk assessment in the discounted cash flows method | International Journal of Finance and Economics

    We review the developments and practice of the discounted cash-flow method in finance with an intermediate goal of presenting parsimonious methods of generating density  valuation rather than point forecasts. Our ultimate aim is to select, propose and  discuss some density-based risk measures that may be used by appraisers and investment analysts when conducting DCF valuation for broad group of heterogeneous (by risk appetite) final users or investors. Such a toolbox may be applied directly by the latter group without necessity to rely on aggregated point valuations and recommendations.

    Sample Matlab code to replicate the result of the two examples from this article is here.

    Marcin
    Dec
  • Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives | Bank i Kredyt

    We consider feasible Heath-Jarrow-Morton framework specifications that are easily implementable in XVA engines when pricing linear and non-linear interest rate derivatives in a multi-curve environment. Our particular focus is on relatively less liquid markets (Polish PLN) and the calibration problems arising from that fact. We first develop the necessary tool-kit for multi- -curve construction and XVA integration and then show and discuss various specifications of the HJM model with regard to their practical usage. We demonstrate the importance of the Cheyette subclass and derive the dynamics of instantaneous forward rates in generic forms of different models. We performed calibrations of several one-factor models of that form and found that even with a relatively simple specification, i.e. Hull-White with two summands, we may achieve satisfactory results in terms of the quality of the calibration and calculation time.

    Marcin
    Dec