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ZFI-WNE-UW and QFRG Conference 2016

The Department of Quantitative Finance at the Faculty of Economic Sciences University of Warsaw and the Quantitative Finance Research Group invite everyone interested to attend the conference:


2016-11-24, 16:00

University of Warsaw
Faculty of Economic Sciences Room B



Programme of the conference:

16.00-16.15 Reception desk and coffee
16.15-16.25 dr hab. prof. UW Ryszard Kokoszczyński Conference opening
16.25-16.55 dr Juliusz Jabłecki The rise and fall of synthetic CDO market: lessons learned
16.55-17.25 Mateusz Wywiał Applying exogenous variables and regime switching to multifactor models on world equity indices
17.25-17.55 dr Paweł Sakowski Do multifactor models produce robust results? Econometric and diagnostic issues in equity risk premia study
17.55-18.15 Cofee break
18.15-18.45 dr Robert Ślepaczuk Can we invest on the basis of equity risk premia?
18.45-19.15 dr Marcin Chlebus EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk
19.15-19.45 dr Piotr Wójcik Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies
19.45-20.05 Mateusz Wywiał Bitcoin As a New Asset Class
20.05-20.15 dr hab. prof. UW Ryszard Kokoszczyński Conference closing

If you are interested in participation, please register by sending email at with your name and professional/educational occupation.

If you want to book seats for other employees/friends of your company/university please send us additional information.