Seminar decks
House-style slide decks for the papers behind the dashboards, viewable in the browser with full-screen mode, so a seminar needs nothing but this URL. Decks are added as papers publish.
12 slides · SSRN working paper, 2026 · under peer review
Are Survey-Based Rate Expectations Informative? Evidence from Less-Liquid Markets
NBP SPF vs ACM-BRW path · DM, CW, encompassing · survey wins at 1y · model from 3y · crossover at 24m
14 slides · SSRN working paper, 2026 · under peer review
Closer to New York than to Frankfurt? The Expectations Hypothesis in Poland, the US and the Euro Area
90 cells x 3 markets · NW vs wild bootstrap · EA 75 → 4 collapse · power & subsamples · regime-and-power reading
13 slides · Research Square preprint, 2026 · under peer review
Does the term premium pay for the duration? Evidence from Polish sovereigns
seven-component TBSP identity · carry & roll +413 bp/yr · the 2022 storm · ex-storm +46.5 bp/q · carry-trade classification
16 slides · Borsa Istanbul Review, 2026 · open access
Supply, habitat and the price of liquidity in less-liquid sovereign bond markets
issue size · stocks not flow · venue-cap decomposition · habitat gradient · 2.4% mark-to-market · auction cycle
9 slides · FAME|GRAPE Working Paper #53
Parsimonious Yield Curve Modeling in Less-Liquid Markets (LW-NSS)
yield-space Glosten-Milgrom · w = turnover · information-matrix weights · 21y refit, MAE −1.6 bp
13 slides · Journal of Economic Dynamics and Control, 2026
Welfare Measurements with Heterogeneous Agents
money-metric indices · non-additivity · near-additivity under patience · with Marek Weretka
13 slides · SSRN working paper · under peer review
When 3% Means Nothing: Calibrating Escalation Limits to a Bank's Own Forecasting Error Distribution
thresholds as quantiles · equalised escalation probability · Polish bank stress-test data
12 slides · International Journal of Finance & Economics, 2021
From Point through Density Valuation to Individual Risk Assessment in the DCF Method
valuation as a distribution · cash-flow and discount-rate uncertainty · position-level risk
12 slides · Bank i Kredyt, 2019
Markovian and Multi-Curve Friendly Parametrisation of a HJM Model Used in Valuation Adjustment
HJM drift condition · separable volatility · Markovian state · OIS and projection curves · XVA