Marcin Pitera

Jagiellonian University

Marcin Pitera holds a PhD degree in Mathematics and MSc degree in Finance. He is an Assistant Professor in Department of Financial Mathematics at Faculty of Mathematics and Computer Science of the Jagiellonian University. His research interests are centred around Financial Mathematics, Stochastic Control, and Statistics. This includes risk sensitive control, dynamic risk and performance measurement, Markov decision processes, and dependence modelling. Dr Marcin Pitera has also a professional experience in Quantitative Finance with focus on Traded Risk and general Model Validation.

Articles by Marcin Pitera

Original research

Backtesting expected shortfall: a simple recipe?

In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.

30 Oct 2019

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