Inaugural Seminar of the 2025/2026 Academic Year, Organised by the QFRG and DSLab Research Centres

The seminar will take place on October 20th at the Faculty of Economic Sciences. The lecture entitled "Systematic Bagging Model for market risk - cross pattern learning framework for Value at Risk and Expected Shortfall estimation” will be delivered by Prof. Robert Ślepaczuk, Dr Macin Chlebus and PhD candidate Michał Woźniak. An abstract of the presentation is provided below.

The event will be held in Room B002 at 18:30. All those interested in participating online are kindly asked to contact the seminar organizers at: 7Tzl}@92X/?ZP$R-be]#[&7mT=4'ra!3c2eH6SR or send a message to the Communication Section at: 7Tzl}@92X/?ZP$R-beM4[j]#['GjZmz~no%*@YvJ6HJCALW.

On behalf of the organizers, we kindly ask all participants to arrive or log in to the meeting at least 5 minutes in advance. The lecture will last approximately 45 minutes, followed by a discussion session, to which all participants are warmly invited.

---

This research proposes a new framework, the Systematic Bagging Model (SBM), for estimating market risk through leveraging ensembling and cross-learning approaches. The SBM is designed to make possible the generation of stable and accurate forecasts for Value at Risk and Expected Shortfall by using deterministic learning sets from time series data with optimal pattern searching. Empirical validation with the LIGHT Benchmark shows the superiority of an SBM over state-of-the-art standalone models concerning forecasting quality in terms of adequacy, regulatory compliance, and capital effectiveness. This research unveils a strong potential for systematic bagging and cross-learning for improving market risk models, especially during periods of sudden increased volatility.