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MARTA MAŁECKA, PH.D.

Room: A39
Office hours:Wednesday 18:000-19:30 (Teams)
Tel.: +48 42 635 53 07
E-mail: marta.malecka@uni.lodz.pl

SCIENTIFIC INTERESTS

Probability theory

Statistical tests

Extreme value theory

Applications of stochastic processes in economics

Market risk management

SCIENTIFIC DEGREES AND TITLES

2014 PhD in Economics, University of Łódź

Study programmes:

2013 University of Łódź, Mathematics, specialization track: Financial and Actuarial Mathematics

2011 University of Łódź, Informatics and Econometrics, specialization track: Statistics and Demography

2006 University of Łódź, International Relations, specialization track: International Finance

POSITIONS AND FUNCTIONS

Since 2015 Assistant Professor, Department of Statistical Methods, University of Łódź

2008-2015 Assistant, Department of Statistical Methods, University of Łódź

SELECTED PUBLICATIONS

Monography:

[1]      Małecka M. [2016], Weryfikacja hipotez w ocenie ryzyka rynkowego, Łódź University Press.

Publications in journals:

[2]      Małecka M. [2017], Testing VaR Under Basel III with Application to No-Failure Setting, Contemporary Trends and Challenges in Finance, Springer, pp.195-202.

[3]      Małecka M. [2016], Spectral VaR test statistical properties, Modelling and Forecasting of Socio-Economic Phenomena, pp. 102-109.

[4]      Małecka M. [2016], Evaluation of Parametric ES Tests, Mathematical Methods in Economics, pp. 523-527.

[5]      Małecka M. [2015], Spectral density tests in VaR failure correlation analysis, Research Papers of Wrocław University of Economics 381, s. 235-249.

[6]      Małecka M. [2015], Comparative analysis of sigma-based, quantile-based and time series VaR estimators, Acta Universitatis Lodziensis. Folia Oeconomica 1(311), s. 57-68.

[7]      Małecka M. [2014], Duration-Based Approach to VaR Independence Backtesting, Statistics in Transition 15(4), pp. 627-637.

[8]      Małecka M. [2014], Multivariate approach to testing VaR models, Mathematical Methods in Economics, pp. 569-574.

[9]      Małecka M., Pekasiewicz D. [2013], Modification of Probability Weighted Method of Moments and its Application to Estimation of Financial Return Distribution Tail, Statistics in Transition 14(3), s. 495-506.

[10]   Szymańska A., Małecka M. [2013], Influence of transition matrix in bonus-malus systems on tariff effectiveness in car instance, Mathematical Methods in Economics, pp. 903-909.

[11]   Małecka M. [2013], GARCH process application in risk valuation for WIG20 index, Folia Oeconomica 285, pp. 209-220.

[12]   Małecka M. [2013], Experimental design in evaluating VaR forecasts, Acta Universitatis Lodziensis. Folia Oeconomica 286, s. 277-290.

[13]   Małecka M. [2011], Prognozowanie zmienności indeksów giełdowych przy wykorzystaniu modelu klasy GARCH, Ekonomista 6, pp. 843-860.

Małecka M., Wdowiński P. [2011], Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets, Financial Markets: Principles of Modelling, Forecasting and Decision-Making 9(1), pp. 155-172.

PRIZES AND AWARDS

1st Order Degree of the Rector of the University of Łódź

for the series of publications on risk models, 2016

 

Award of the Polish Financial Supervision Authority

for the doctoral thesis in finance, 2015

 

Award of the Dean of the Faculty of Economics and Sociology

of the University of Łódź for the doctoral thesis, 2014

 

Graduation with Distinction in Mathematics,

Faculty of Mathematics and Informatics of the University of Łódź, 2013

 

Graduation with Medal of Honour in Informatics and Econometrics, 2011

 

Graduation with Medal of Honour in International Relations, 2011

 

Scholarship of the Polish Minister of Science and Higher Education

for Achievements in Science, 2008/2009

 

Scholarship of the European Union,

University of Orebro, 2005-2006

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