Rafał J. Sieradzki

Assistant Professor of Finance

Visiting Scholar, NYU Stern School of Business
Cracow University of Economics
New York, the US & Krakow, Poland

Quantitative finance researcher and educator specializing in derivative markets, risk modeling, and the nexus between financial markets and the real economy, with experience teaching advanced finance courses and conducting research on machine learning applications in time-series forecasting, bankruptcy prediction, systemic risk, and market microstructure.

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Portrait of Rafał J. Sieradzki

Research Interests

Derivative Markets & Valuation Bankruptcy Prediction & Credit Risk Systemic Risk IPO Underpricing Game Theory Distressed Debt Exchanges Information Asymmetry AI in Finance Machine Learning in Finance Market Microstructure Volatility Modeling Liability Management Exercises

Working Papers

Liability Management Exercises: Creditor-on-Creditor Conflicts in a Game-Theoretic Setting
Altman, E.I., Sieradzki, R., Kosiorowski, G.
Working Paper 2026
The Illusion of Green: Addressing Measurement and Verification Challenges in Environmental Investment Claims to Combat Greenwashing
Kumar, P., Sieradzki, R.
Working Paper 2026
Outlier Detection in the Valuation of Financial Derivatives: An Investment Banking Perspective
Peysakovich, D., Sieradzki, R.
Working Paper 2026
Hybrid Models for Corporate Bankruptcy Prediction: Enhancing Altman Z-Score Accuracy with Machine Learning
Altman, E.I., Sieradzki, R.
Working Paper 2025
Survival Analysis of Zombie Companies: Identification, Methodological Aspects, and Macroeconomic Implications
Altman, E.I., de Martiis, A., Sieradzki, R.
Working Paper 2025
Forecasting Ability of Implied and Realized Volatility for Equity Index Options: The Case of Deep Out-of-the-Money Put Options
Sakowski, P., Sieradzki, R., Ślepaczuk, R.
Working Paper 2025
Game-Theoretic Analysis of Strategic Interactions between Issuers and Investors in an IPO
Kosiorowski, G., Sieradzki, R.
Working Paper 2025
Forecasting Price Volatility of Non-Ferrous Metals: A Comparison of Econometric, ML, and AI Models
Sieradzki, R., Kwiatek, S.
Working Paper 2025

Publications

Distressed Debt Exchanges: A Prominent Form of Out-of-Bankruptcy-Court Corporate Restructuring
Altman, E.I., Sieradzki, R.
Forthcoming 2026
Leadership in Action: The Influence of CEO Personal Values on Corporate Environmental Practices
Doś, A., Czupryna, M., Oleksy, P., Sieradzki, R.
Economics & Environment Vol. 96, No. 1 2026
How is the Issue Price Set? Strategic Interactions between Issuers and Brokers in an IPO
Kosiorowski, G., Sieradzki, R., Thlon, M.
Studies in Economics and Finance Vol. 43, Issue 5 2025
Systemic Risk Indicator Based on Implied and Realized Volatility
Sakowski, P., Sieradzki, R., Ślepaczuk, R.
Quality and Quantity, Springer Publishing Company Vol. 60, Issue 5 2025
Assessing the Impact of Economic and Financial Shocks on SME Credit Quality
Altman, E.I., Sieradzki, R., Thlon, M.
Bank & Credit Vol. 54, No. 2 2023
IPO Underpricing on the Warsaw Stock Exchange
Sieradzki, R.
UEK Press Book 2019

Teaching

Cracow University of Economics
Analysis & Valuation of Derivatives
Bachelor / Master
Pricing models and practical valuation techniques for options, futures, and swaps.
Fixed Income & Derivatives
Bachelor / Master
Bond markets, yield curve modeling, equity, FX, commodity, interest rate, and credit derivatives.
Macroeconomic Foundations of Financial Markets
Bachelor / Master
Interactions between macroeconomic dynamics, monetary policy, and financial market behavior.

Education

Ph.D. in Finance
Cracow University of Economics, Poland
Dissertation: IPO Underpricing on the Warsaw Stock Exchange
2016
MBA
IEB Institute of Stock Market Studies, Spain
2002
M.Sc. in Economics
Cracow University of Economics, Poland
Dissertation: Valuation Models for Internet Firms
2001

Academic Appointments

Visiting Scholar
New York University Stern School of Business
2021–Present
Collaboration with Prof. Edward I. Altman on bankruptcy prediction, Distressed Debt Exchanges, Liability Management Exercises, and zombie firms.
Researcher
Quantitative Finance Research Group, University of Warsaw
2022–Present
Research focus: ML & AI models in volatility prediction and systemic risk assessment.
Assistant Professor
Cracow University of Economics, Poland
2012–Present
Courses taught: Analysis & Valuation of Derivatives, Fixed Income & Derivatives, Macroeconomic Foundations of Financial Markets; Bachelor & Master's thesis supervision.

Professional Experience

Economic Expert
National Bank of Poland
Warsaw
Conducting research on interactions between financial markets and the real economy, with a focus on market stability and development.
2005–2011
Financial Trainer
Deloitte, PKO BP, PGE S.A., Others
Warsaw
Workshops on risk management, derivatives pricing, and financial modeling.
2007–Present
Math Tutor
Independent
Standard and advanced level mathematics, in-person & online.
Present

Technical Skills

Programming
PythonRSTATALaTeX
Quantitative Finance
Derivatives ValuationMonte Carlo MethodsVolatility & Credit Risk Modeling
Machine Learning
Time Series ForecastingEnsemble MethodsHybrid Models
Platforms & Tools
BloombergWRDSLSEGGitHubOverleaf
Languages
EnglishSpanishPolishGermanRussianChinese (中文)

Professional Memberships

  • Financial Management Association
  • The Risk, Banking and Finance Society

Conference Roles

  • FMA Annual Meeting — Organizer, Presenter & Session Chair
  • International Risk Management Conference — Scientific Committee Member, Presenter & Session Chair

Interests

Rock climbing Long-distance running Quantum mechanics Astrophysics Travel (60+ countries)

Get in Touch

I am always open to discussing new research collaborations, seminar invitations, or consulting opportunities.

Email rafal.j.sieradzki at gmail.com

Academic Profiles

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