mdec

dr
Marcin
Dec

Adiunkt, Katedra Finansów, Akademia Leona Koźminskiego

Assistant Professor, Finance Department, Kozminski University




https://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

W toku | Work in progress

  • Parsimonious yield curve modeling in less liquid markets

    Less liquid markets for government bonds (LLMs) are characterized by many well recognized challenges which reduce the reliability of the classic Nelson-Siegel-Svensson (NSS) parsimonious approach. We document key stylized facts about government bond markets concerning liquidity, diversity of maturities available, bid-ask spread in price quotes, as well as price distortion in the very short end of the curve due to switch auctions. Based on these facts, we augment the NSS approach with model- and data-driven endogenous system of weights which permits reliable estimation of yield curves in LLMs. We apply our approach to the data for one of the largest European emerging markets: Poland. Through a battery of sensitivity analyses we show that there exists a class of weights that systematically gives better results than the classic NSS approach. The best fit weights have at least the same weight for the short end of the curve as a sum for all other tenors of bonds. It proves that inferring from the liquidity in particular maturities raises the information content and quality of yield curve estimation, which links our results to the expectation hypotheses. Unlike findings for most mature markets (e.g. US), for Poland there is a limited domain where pure expectations hypothesis (PEH) cannot be ruled out. Moreover, expectations hypothesis (EH) holds in Poland for almost all horizons. The existence of term premia structure explains the differences between compounded rates of returns from shorter investments and longer term zero-coupon yields of corresponding maturity.


    Marcin
    Dec
  • Welfare measurements with heterogeneous agents

    The canonical infinite horizon framework with heterogeneous consumers, used in macro and financial literature, lacks a preference-based welfare index that produces consistent normative predictions for different policies. In particular, the classic preference-based indices, such as equivalent or compensating variations, do not aggregate and they are not additive on the set of policies. This paper offers a positive result. We show that for arbitrary heterogeneous von Neumann Morgenstern preferences with common discount factor, an equivalent (compensating) variation is nearly additive and admits a representative agent representation, as long as consumers are patient. Therefore, this index generates consistent quantitative comparisons of welfare effects in a wide variety of problems studied in the macro and finance literature. These problems include, among others, predictions regarding welfare impacts of fiscal or monetary policies, costs of real business cycles, or welfare costs of policies implemented in financial markets. 

    Marcin
    Dec
    Marek
    Weretka


  • We are working hard for you and develop YIELD's project results dissemination page here.

    In the meantime, please enjoy a MATLAB film on the history of Polish government bond market.