Research

My current research focuses on three areas:

1. Credit risk modelling and zombie firms, also in the context of climate change (Altman Z-score models, logit models, and Merton model extensions). I work with prof. Edward I. Altman form New York University Stern School of Business, who is not only my mentor but also a great friend. Currently we are analyzing Distressed Debt Exchanges, an increasingly popular way of avoiding bankruptcy in the US market. Moreover, we focus on combining the Altman Z-score model with ML and AI methods, especially random forests, XGBoost and SVM methods to increase forecasting power of the model.
2. Volatility modelling using traditional econometrics, ML and AI models (implied and realized volatility). This research is predominantly done with my collegues from the University of Warsaw, within Quantitative Finance Research Group.
3. Game theory, Information asymmetry & IPOs underpricing. This research is done with my collegue from the Cracow University of Economics.
4. Relationship between credit and economic cycles, a bottom up approach. This research is done with my colleague from University of Bern.

Recent papers & actual research topics

• P. Sakowski, R.Sieradzki, R. Ślepaczuk, Systemic risk indicator based on implied and realized volatility, Quality and Quantity. International Journal of Methodology (2025).
• G. Kosiorowski, R. Sieradzki, M. Thlon, How is the issue price set? Strategic interactions between issuers and brokers in an IPO, Studies in Economics and Finance (2025).
• R.Sieradzki, S.Kwiatek, Forecasting Price Volatility of Non-Ferrous Metals: A Comparison of Econometric, Machine Learning, and AI Models, working paper.I have presetnted this paper at the AFML Conference at the Corvinus University of Budapest (2025)
• M. Czupryna, A. Doś, P. Oleksy, R.Sieradzki, The Influence of CEO Personal Values on Corporate Environmental Practices, Economics & Environment Journal (2026).
• R.Sieradzki, N. Michaluk, Currency Risk Management in Airline Industry: Hedging Strategies and Financial Implications, working paper.
• E.I. Altman, R.Sieradzki, M.Thlon, Assessing the Impact of Economic and Financial Shocks on SME Credit Quality: A Scenario Analysis, Bank & Credit Journal, Vol. 54 No. 2 (2023), National Bank of Poland, Warsaw.
• P. Sakowski, R. Sieradzki, R. Ślepaczuk, Forecasting power of implied and realized volatility. The case for S&P500 index options¸ working paper.
• G. Kosiorowski, R. Sieradzki, Game-theoretic approach to IPO underpricing: issuer vs investors, working paper.

Google scholar – Rafal Sieradzki

Below I include a list of the seminal papers that have changed the course of finance and the way we quantify risk and price financial instruments. The list is not complete and this is work in progress.