3 papers
q-fin.GN2026
Same Firms, Different Verdicts: ESG Rating Choice and the Measurement of Greenwashing
Praveen Kumar Ashok Kumar, Rafał Sieradzki
This paper investigates the Aggregate Confusion hypothesis (Berg, Kolbel, and Rigobon, 2022) at the firm level by measuring the Disclosure-Performance Gap (DPG), the standardised d…
q-fin.RM2026
How to spot outliers: an Ensemble Anomaly Detection Framework
Daniil Peysakhovich, Rafał Sieradzki
Errors in risk valuation outputs arising from data-feed failures, model misconfiguration, or system malfunctions can propagate undetected through an investment bank's risk infrastr…
q-fin.RM2023
Systemic risk indicator based on implied and realized volatility
Paweł Sakowski, Rafał Sieradzki, Robert Ślepaczuk
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan.…