About
Author bio, methodology, external profiles, full publications list with DOIs, references, and a contact form for collaboration enquiries.
Bio
Author
Marcin Dec, PhD
Assistant Professor in Finance, Department of Finance, Kozminski University, Warsaw. Research Assistant at FAME|GRAPE since 2019. Twenty-plus years of fixed-income practitioner experience as senior analyst, portfolio manager, and risk manager before entering academia.
Assistant Professor in Finance, Department of Finance, Kozminski University, Warsaw. Research Assistant at FAME|GRAPE since 2019. Twenty-plus years of fixed-income practitioner experience as senior analyst, portfolio manager, and risk manager before entering academia.
Education
PhD in Quantitative Economics, SGH Warsaw School of Economics.
MSc in Mathematical Finance, University of Oxford.
MSc in Mathematical Finance, University of Oxford.
Certifications
FRM, PRM, CIIA, CQF, RAI — practitioner certifications spanning financial-risk management (FRM, PRM), international investment analysis (CIIA), quantitative finance (CQF), and risk-in-AI (RAI).
Research focus
Yield-curve modelling for less-liquid sovereign bond markets, term-premium estimation, multi-curve HJM, money-market benchmarks, valuation adjustments (XVA), and welfare measurement with heterogeneous agents. Empirical anchor is the Polish PLN sovereign curve, with comparative work against US Treasury and euro-area AAA benchmarks.
Funding
National Science Centre Poland, Preludium grant UMO-2020/37/N/HS4/02202 (2021–2024). Multiple SGH Rector's scholarships for best doctoral students, 2017–2021.
This site
yieldcartography.com publishes the daily-refreshed empirical outputs of the research programme: NSS-fitted zero-coupon yield curves, ACM and BRW term-premium decompositions, microstructure-based liquidity measures, and expectations-hypothesis test results, with comparative views on US Treasury and euro-area AAA panels. Methodology is open, all data is publicly sourced, and the underlying CSVs are linked from the dashboards.
Site guide
A detailed walkthrough of what yieldcartography.com is, what it is for, and how to navigate each of the seven dashboards is available as a single nine-page PDF. The guide covers the methodology behind each dashboard, the underlying data sources and their refresh cadence, the CSV download conventions, and pointers to the three working papers behind the site.
External profiles & media
GRAPE
FAME|GRAPE researcher page
grape.org.pl/mdec
University
Kozminski faculty page
kozminski.edu.pl
LinkedIn
Personal profile
linkedin.com/in/marcin-dec-6a7a974b
CV
Full curriculum vitae (PDF)
grape.org.pl/.../CV_MarcinDec.pdf
Podcast
"Tloczone z danych" — GRAPE podcast for DGP
grape.org.pl/podcast
Selected publications & working papers
- Welfare Measurements with Heterogeneous Agents doi:10.2139/ssrn.5335293 A unified welfare-measurement framework for heterogeneous-agent economies. Builds on Weretka's pivotal-agent welfare formula and extends it to environments with idiosyncratic shocks and incomplete markets, with closed-form expressions for compensating and equivalent variations under standard preference parameterisations. Calibrated to Polish household survey data.
- Does the Term Premium Pay for the Duration? Evidence from Polish Sovereigns doi:10.21203/rs.3.rs-9849665/v1 Develops a closed-form seven-component identity for the realised quarterly total return on a coupon-bearing sovereign bond (coupon accrual, reinvestment proceeds, clean-price roll-down, expected-rate change, term-premium change, convexity, and a closure residual). Applied to the published Treasury BondSpot Poland index over 2006-2026 on an 89-bond panel, the identity tracks the basket within ten basis points per year. Carry and roll-down contribute +413 bp per year on average; the macro-driven curve-move bloc averages -17 bp per year and is statistically indistinguishable from zero on the full sample. Conditioning out the four-quarter 2022 NBP-hike storm, the TBSP-versus-rolling-NBP-deposit excess is +46.5 bp per quarter at HAC p = 0.003. A TBSP-tracking Polish bond fund is best classified as a carry trade between the term spread and the NBP reference rate, carrying a low-frequency regime risk that paid off asymmetrically in 2022.
- Closer to New York than to Frankfurt? The Expectations Hypothesis in Poland, the US and the Euro Area doi:10.2139/ssrn.6695444 Five families of expectations-hypothesis tests applied to Polish, US and euro-area sovereign curves over 2005-2026. The Polish curve is mildly anti-PEH, the US is roughly consistent with PEH at long horizons, and the euro-area AAA panel rejects strongly under asymptotic Newey-West but barely under wild block bootstrap — clean evidence for the Bauer-Hamilton (2018) concern about asymptotic inference in overlapping-return regressions with persistent regressors.
- Are Survey-Based Rate Expectations Informative? Evidence from Less-Liquid Markets doi:10.2139/ssrn.6644222 Tests whether the NBP Survey of Professional Forecasters carries information beyond what is already in the Polish term structure. Uses ACM and BRW expected-rate paths from the LW-NSS-fitted Polish zero-coupon panel as the model benchmark, runs Diebold-Mariano, Clark-West and forecast-encompassing tests at horizons of 1 to 60 months. The model wins at 3y and 5y, the survey wins at 1y; encompassing tests reject the survey at long horizons.
- Parsimonious Yield Curve Modeling in Less-Liquid Markets grape.org.pl/publications/wps Develops the liquidity-weighted Nelson-Siegel-Svensson (LW-NSS) framework for sovereign curves where bond-by-bond observation noise is heterogeneous. Information-matrix derivation gives an explicit weight-matrix structure derived from BondSpot turnover and outstanding amounts. Refit of the Polish panel reduces 21-year mean fit MAE by 1.6 bp versus equal-weight NSS while preserving curvature.
- When 3% Means Nothing: Calibrating Escalation Limits to a Bank's Own Forecasting Error Distribution doi:10.2139/ssrn.6276722 Argues that bank-internal escalation thresholds for forecasting errors should be calibrated to the empirical error distribution of the institution rather than imposed as round-number percentages. Develops the calibration on Polish bank stress-test data and shows that uniform 3% thresholds either grossly under- or over-trigger depending on the size and macroeconomic exposure of the institution.
- From Point through Density Valuation to Individual Risk Assessment in the Discounted Cash Flows Method doi:10.1002/ijfe.2084 Reformulates the discounted-cash-flow valuation method to deliver a full distribution of valuation outcomes rather than a point estimate, with explicit treatment of cash-flow uncertainty and discount-rate uncertainty. Shows how the resulting distribution feeds directly into individual position-level risk assessment.
- Markovian and Multi-Curve Friendly Parametrisation of a HJM Model Used in Valuation Adjustment of Interest Rate Derivatives PDF — bankikredyt.nbp.pl Derives a Markovian, multi-curve-consistent parametrisation of the Heath-Jarrow-Morton model suitable for XVA computation across collateralised and uncollateralised interest-rate derivatives. Reduces the dimensionality of the state vector required for valuation adjustment without sacrificing fit on the swap-curve and OIS-curve data.
For the full publication list and ongoing working papers see the GRAPE, SSRN and RePEc profiles linked above.
Funding & acknowledgements
This research is supported by the National Science Centre, Poland — Preludium grant UMO-2020/37/N/HS4/02202. The grant funds the empirical work behind the LW-NSS, ACM-BRW term-premium, expectations-hypothesis and Polish-bond-liquidity papers from which all dashboards on this site are built.
Data partners gratefully acknowledged: BondSpot SA for the venue panel, the Polish Ministry of Finance for outstanding-amount and turnover disclosures, KDPW for the pre-2014 turnover history, and Narodowy Bank Polski for the money-market anchor and the Survey of Professional Forecasters releases.
Data sources
Polish bond panel (price, bid, ask, turnover): BondSpot SA venue closing fixings.
Outstanding amounts and secondary-market turnover: Polish Ministry of Finance monthly statistics. Pre-2014 turnover panel reconstructed from KDPW disclosures.
Short-end anchor: Narodowy Bank Polski money-market bill rate.
NBP Survey of Professional Forecasters: 57 quarterly survey releases, implied short-rate path constructed per the methodology in Dec (2026, SSRN 6644222).
US Treasury zeros: Gürkaynak-Sack-Wright (GSW) updated panel, US Federal Reserve Board.
Euro-area zeros: ECB AAA spot-rate database.
Macro panel: CPI, registered unemployment, FX volatility, NBP rate changes — Polish Statistical Office and NBP.
References
A combined bibliography drawn from the four working papers behind the dashboards. Click any DOI to retrieve the source.
[ACM2013] Adrian, T., Crump, R. K., & Moench, E. (2013). Pricing the term structure with linear regressions. Journal of Financial Economics, 110(1), 110–138. doi:10.1016/j.jfineco.2013.04.009
[Amihud2002] Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56. doi:10.1016/S1386-4181(01)00024-6
[BauerHamilton2018] Bauer, M. D., & Hamilton, J. D. (2018). Robust bond risk premia. Review of Financial Studies, 31(2), 399–448. doi:10.1093/rfs/hhx096
[BRW2012] Bauer, M. D., Rudebusch, G. D., & Wu, J. C. (2012). Correcting estimation bias in dynamic term structure models. Journal of Business & Economic Statistics, 30(3), 454–467. doi:10.1080/07350015.2012.669666
[BRW2014] Bauer, M. D., Rudebusch, G. D., & Wu, J. C. (2014). Term premia and inflation uncertainty: Empirical evidence from an international panel dataset: Comment. American Economic Review, 104(1), 323–337. doi:10.1257/aer.104.1.323
[CampbellShiller1991] Campbell, J. Y., & Shiller, R. J. (1991). Yield spreads and interest rate movements: A bird's eye view. Review of Economic Studies, 58(3), 495–514. doi:10.2307/2298008
[CochranePiazzesi2005] Cochrane, J. H., & Piazzesi, M. (2005). Bond risk premia. American Economic Review, 95(1), 138–160. doi:10.1257/0002828053828581
[CorwinSchultz2012] Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67(2), 719–760. doi:10.1111/j.1540-6261.2012.01729.x
[DieboldMariano1995] Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. doi:10.1080/07350015.1995.10524599
[FamaBliss1987] Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. American Economic Review, 77(4), 680–692.
[GreenwoodVayanos2014] Greenwood, R., & Vayanos, D. (2014). Bond supply and excess bond returns. Review of Financial Studies, 27(3), 663–713. doi:10.1093/rfs/hht133
[GSW2007] Gürkaynak, R. S., Sack, B., & Wright, J. H. (2007). The U.S. Treasury yield curve: 1961 to the present. Journal of Monetary Economics, 54(8), 2291–2304. doi:10.1016/j.jmoneco.2007.06.029
[Kilian1998] Kilian, L. (1998). Small-sample confidence intervals for impulse response functions. Review of Economics and Statistics, 80(2), 218–230. doi:10.1162/003465398557465
[NelsonSiegel1987] Nelson, C. R., & Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of Business, 60(4), 473–489. doi:10.1086/296409
[PastorStambaugh2003] Pástor, Ľ., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685. doi:10.1086/374184
[Roll1984] Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39(4), 1127–1139. doi:10.1111/j.1540-6261.1984.tb03897.x
[SarnoThorntonValente2007] Sarno, L., Thornton, D. L., & Valente, G. (2007). The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, 42(1), 81–100. doi:10.1017/S0022109000002192
[Svensson1994] Svensson, L. E. O. (1994). Estimating and interpreting forward interest rates: Sweden 1992-1994. NBER Working Paper No. 4871. doi:10.3386/w4871
[Thornton2006] Thornton, D. L. (2006). Tests of the expectations hypothesis: Resolving the Campbell-Shiller paradox. Journal of Money, Credit and Banking, 38(2), 511–542. doi:10.1353/mcb.2006.0035
[VayanosVila2021] Vayanos, D., & Vila, J.-L. (2021). A preferred-habitat model of the term structure of interest rates. Econometrica, 89(1), 77–112. doi:10.3982/ECTA17440
Contact & collaboration
Use the form below for collaboration enquiries — especially if you are working on less-liquid sovereign bond markets in Central and Eastern Europe, Latin America, South Africa, the Philippines, India, or any other emerging market where the LW-NSS framework would be useful. The "what brought you here" dropdown helps me prioritise replies.
Direct email: [email protected]