3 papers in the archive (2023–2024), average empirical rigor 4.8/10, average math complexity 6.5/10. Quadrant mix: Holy Grail ×2, Lab Rats ×1.
Works mostly in Risk Management & Tail Risk, Fixed Income & Interest Rates, Volatility Modeling & Forecasting, Portfolio Optimization.
Frequent co-authors: Kamil Fortuna (2), Jarosław Gruszka (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent financial networks and the associated high systemic risk hav
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate, which we measure via the parameters of the Heston model calibra
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events, systemic risk methodologies utilise advanced mathematical and compu