User:Trecofinius/Krzysztof Jajuga

Krzysztof Jajuga ... Prof. dr habil. Krzysztof Jajuga

Wroclaw University of Economics Department of Financial Investments and Risk Management

wersja w języku polskim

Titles and degrees: 1979 - Master degree in Economics (Wroclaw University of Economics) 1982 - Doctoral degree in Economics (Wroclaw University of Economics) 1987 - Habilitation degree in Economics (Wroclaw University of Economics) 1992 - Title of Professor

Position: Full professor, Department of Financial Investments and Risk Managemen

Functions: Head of Finance Management Institute Head of the Department of Financial Investments and Risk Management Head of programs: Master Studies in Finance and Bachelor Studies in Finance Vice-President of Committee of Statistics and Econometrics of Polish Academy of Sciences Member of Board of Committee of Financial Sciences of Polish Academy of Sciences Member of Executive Committee of Economic Sciences of Polish Academy of Sciences Member of Executive Committee of the Section of Classification and Data Analysis of Polish Statistical Society (SKAD) Member of Executive Committee and Chairman of Section of Economic Sciences of Central Commission for Titles and Degrees Member of Academic Advisory Council of PRMIA (Professional Risk Managers International Association) Member of Education and Standards Committee of PRMIA (Professional Risk Managers International Association) President of CFA Society of Poland Chief editor of Argumenta Oeconomica Chairman of Scientific Council of Finance (Finanse) Member of Editorial Board of Risk Management in Financial Institutions Member of Scientific Council of Real Estate Financing (Finansowanie Nieruchomości) Member of Scientific Council of Economist (Ekonomista) Member of Scientific Council of Bank and Credit (Bank i Kredyt) Member of Editorial Board of Statistical Review (Przegląd Statystyczny) Member of Editorial Board of Real Estate World (Świat Nieruchomości) Member of Editorial Board of Statistics in Transition - new series

Main visits abroad: 1.10.1981 - 30.06.1982 - visiting scholar (Fulbright grant) at Stanford University, Department of Statistics, USA; 1.10.1988 - 31.10.1988 - visiting professor at Swarthmore College, Swarthmore, Pennsylvania, USA; 1.11.1988 - 31.01.1989 - visiting professor at Stanford University, Department of Statistics, USA; 1.01.1990 - 31.05.1990 - visiting professor at Temple University, School of Business and Management, Philadelphia, Pennsylvania, USA; 1.02.1997-22.02.1997 - visiting professor at University of Richmond, Business School, Richmond, Virginia, USA; Many short-term visits as visiting lecturer in the following countries: Belgium, France, Netherlands, Ireland, Germany, United Kingdom, Sweden, China.

Courses taught at present:

In Polish: Finance; Financial market; Financial markets and instruments; Real estate market, investents an financing; Risk management theory and models; Analysis of financial instruments; Analysis of financial time series;

In English: Basic of finance; Financial mathematics; Financial markets; Monetary policy; Personal finance; Portfolio management.

Research areas: Finance Financial instruments: - basic financial instruments (stocks, bonds); - derivative instruments; Risk management and financial engineering: - risk analysis in financial investments; - strategies of risk management; - portfolio theory; Real estate: - investment; - financing; - risk management; Statistics and econometrics: - Multivariate statistical analysis; - Classification; - Statistical data analysis.

The most important publications:

Books: : Statistics of economic complex phenomena - the detection and analysis of heterogeneous multivariate distributions, habilitation thesis (in Polish), Prace Naukowe AE 371, Wroclaw 1987. Estimation of econometric models, editor: S. Bartosiewicz (in Polish), Polish Economic Publishers, Warsaw 1990. Statistical pattern recognition theory (in Polish), Polish Scientific Publishers, Warsaw 1990. How to invest in securities (in Polish), Polish Scientific Publishers, Warsaw 1993 (coauthor: T. Jajuga). Multivariate statistical analysis (in Polish), Polish Scientific Publishers, Warsaw 1993. Investments. Financial instruments, financial risk, financial engineering (in Polish), Polish Scientific Publishers, Warsaw 1996 (coauthor: T. Jajuga). Financial investments (in Polish), AE Publishers , Warsaw 1997 (coauthors: K. Kuziak and P.Markowski). Risk management in insurance, editor: Wanda Ronka-Chmielowiec, AE Publishers, Wroc3aw 2000. Insurance - market and risk, editor: Wanda Ronka-Chmielowiec, Polish Scientific Publishers, Warsaw 2002. Insurance in the market economy, editor: Tadeusz Sangowski, Branta, Bydgoszcz - Poznan, 2002. Basics of investing on the securities market, Warsaw Stock Exchange, Warsaw 2002 (in Polish). Giełdowe instrumenty pochodne, GPW, Warszawa 2006. Podstawy inwestowania na giełdzie papierów wartościowych, GPW, Warszawa 2006. Inwestycje. Instrumenty finansowe, aktywa niefinansowe, ryzyko finansowe, inżynieria finansowe, Wydawnictwo Naukowe PWN, Warszawa 2006 (współautor: Jajuga T.) . Elementy nauki o finansach, PWE, Warszawa 2007. Podstawy inwestowania na giełdzie papierów wartościowych, wyd. 3, GPW, Warszawa 2007. Zarządzanie ryzykiem, Wydawnictwo Naukowe PWN, Warszawa 2007 (red.). Giełdowe instrumenty pochodne, wyd. 2, GPW, Warszawa 2007.

Papers:

On pattern recognition methods in econometric regression model, w: L. F. Pau (ed.), Artificial Intelligence in Economics and Management, s.167-171, North-Holland, Amsterdam 1986. Determining hyperspherical classes of observations, Pattern Recognition Letters 4, s.19-24, 1986. Bayes classification rule for the general discrete case, Pattern Recognition 19, s.413-415, 1986. Linear fuzzy regression, Fuzzy Sets and Systems 20, s.343-353, 1986. A clustering method based on the L1-norm, Computational Statistics and Data Analysis 5, s.357-371, 1987. Elliptically symmetric distributions and their application to classification and regression, w: Pukkila T., Puntanen S.(ed.), Proceedings of the Second International Tampere Conference in Statistics, s.491-498, Tampere 1987. L1-norm based fuzzy clustering, Fuzzy Sets and Systems 39, s.43-50, 1991. Application of clustering methods to linear regression, Acta Oeconomica Pragensia 59, s.121-129, Prague 1990. Analyzing heterogeneous data sets in statistics - different approaches, Statistics in Transition, 1, 217-231, 1993. Statistical methods of investment portfolio selection, Badania Operacyjne i Decyzje, 4/1993, s.41-49. Finance - change of paradigm in teaching and research, Argumenta Oeconomica, 1, s.51-60, Wrocław 1995. On the principal components of time series, Statistics in Transition, 2, 201-205, 1995. Optimization in fuzzy clustering, w: Control and Cybernetics, 24, s. 409-419, 1995. Genetic evolution of neural network models for financial market forecasting, w: Nonlinear Financial Forecasting, Proceedings of the First INFFC, s.139-152, 1997 (współautorzy: J. Korczak, J.-P. Novak, E. Dizdarevic, P. Ritter). Classification and data analysis in finance, w: Classification and Related Methods, s. 63-70, Springer,Tokyo 1998. Statistical approach in financial risk management - review of concepts, w: Classification in the information age, s. 115-123, Springer, Berlin 1999. Statistics and data analysis in market risk measurement, w: Gaul W., Opitz O., Schader M. (ed.), Data analysis, scientific modeling and practical application, s. 487-494, Springer, Berlin 2000. Standardisation of data set under different measurement scales, w: Decker R., Gaul W. (ed.), Classification and information processing at the turn of the millenium, s. 105-112, Springer, Berlin 2000 (współautor: M. Walesiak). Dynamic models in the analysis of financial instruments, w: Dynamic Econometric Models, 4, s. 17-23, Wydawnictwo UMK, Toruń 2000. The development of the Polish financial market after transformation, w: Analysis and international comparisons of social consequences of transformation processes in post communist countries, s. 33-43, University of Economics, Bratislava 2001. Fuzzy clustering with squared Minkowski distances, Fuzzy Sets and Systems, 120, s. 227-237, 2001 (współautor: P. Groenen). Risk of options - impact of volatility parameter, w: Ruan D., Kacprzyk J., Fedrizzi J. (ed.), Soft computing for risk evaluation and management, s. 487-500, Physica-Verlag, Heidelberg, 2001 (współautor: K. Kuziak). Risk in finance. A statistical approach, w: Zeliaś A. (ed.), Contemporary problems of statistical and econometric research, s. 191-201, AE Kraków 2001. The statistical foundations of financial instrument analysis, w: Zeliaś A. (ed.), Contemporary problems of statistical and econometric research, s. 202-210, AE Kraków 2001. Modeling the relationship in financial risk management - copula analysis, w: Quantitative Methods in Economy and Business - Methodology and Practice in the New Millenium, s. 40-46, University of Economics in Bratislava, Bratislava 2002. On the generalized distance measure, w: Schwaiger M., Opitz O. (ed.), Exploratory data analysis in empirical research, s. 104-109, Springer, Berlin, 2003 (współautorzy: M. Walesiak, A. Bąk). The general model of financial prices dynamics, w: Dynamic Econometric Models, 5, s. 5-13, Wydawnictwo UMK Toruń, Toruń 2002. Statistical and econometric data analysis - integration of approaches, w: Przestrzenno-czasowe modelowanie i prognozowanie zjawisk gospodarczych, s. 155-162, AE Kraków, 2004. O pewnych modelach decyzji finansowych, Decyzje 1, 2004, s. 37-54. Quantitative methods in finance - development of theory and teaching programs, w: Education of quantitative mathematical-statistical methods on the universities of economics referring to future needs, s. 27-38, Svaty Jur, 2003. Tail dependence in multivariate data - review of some problems, w: Innovations in Classification, Data Science and Information Systems, s. 446-453, Springer-Verlag, Berlin. Application of copula functions in a modelling of relations in multivariate time series, w: Dynamic Econometric Models, s. 15-24, UMK, Toruń 2004. Extreme value analysis and copula, w: Cizek P., Hardle W., Weron R. (ed.), Statistical tools for finance and insurance, s. 45-64, Springer, Berlin 2005 (współautor: Papla D.). Model-based clustering - discussion on some approaches, w: Baier D., Decker R., Schmidt-Thieme L. (ed.), Data Analysis and Decision Support, s. 73-81, Springer, Berlin 2005. Copula approach in two-stock portfolio analysis, Prace Naukowe AE, 1088, s. 203-209, AE Wrocław 2005. Mortgage loans portfolio credit risk modeling - general approach, w: Credit risk of mortgage loans. Modelling and management, s. 120-127, ZBP, Warszawa, 2005. Derivative instruments in real estate market, w: Credit risk of mortgage loans. Modelling and management, s. 372 - 380, ZBP, Warszawa, 2005. Tail dependence in bivariate distributions, Acta Universitas Lodziensis, 194, s. 33-52, 2005. Copula functions in model based clustering, w: From Data and Information Analysis to Knowledge Engineering, s. 606-613, Berlin 2006 (współautor: Papla D.). Statistical analysis of multivariate data - on non-clasical approaches, w: Przestrzenno-czasowe modelowanie i prognozowanie zjawisk gospodarczych, s. 125-131, AE Kraków, 2006. Application of extreme value analysis in portfolio analysis, Prace Naukowe AE, 1133, s. 130-138, AE, Wrocław 2006. Rynek instrumentów finansowych w Polsce (po ukraińsku), w: Ewolucja polskiego systemu bankowego, s. 27-42, Wydawnictwo UMCS, Lublin 2006. Model risk measurement - general concept and particular models, w: Mathematical, econometrical and computational concepts in finance and insurance, s. 107-115, AE, Katowice 2006 (współautor: Kuziak K.). On advanced credit risk modeling, w: Matematyczne i ekonometryczne metody oceny ryzyka finansowego, s. 65-72, AE, Katowice 2007. Multivariate distributions in financial data analysis - applications in portfolio approach, w: Acta Universitas Lodziensis, Folia Oeconomica, s. 379-387, Łódź 2008.

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