Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

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Number of Results 3

WP(12/2024)448. Improving Realized LGD approximation: A Novel Framework with XGBoost for handling missing cash-flow data

Authors: Zuzanna Kostecka, Ślepaczuk Robert
The scope for the accurate calculation of the Loss Given Default (LGD) parameter is comprehensive in terms of financial data. In this research, we aim to explore methods for improving the approximation of realized LGD in conditions of limited access …

WP448. Improving Realized LGD approximation: A Novel Framework with XGBoost for handling missing cash-flow data

The scope for the accurate calculation of the Loss Given Default (LGD) parameter is comprehensive in terms of financial data. In this research, we aim to explore methods for improving the approximation of realized LGD in conditions of limited access to the cash-flow data. We enhance the performance of the method which relies on the differences between exposure values (delta outstanding approach) by employing the machine learning (ML) techniques. The research utilizes the data from the mortgage portfolio of one of the European countries and assumes the close resemblance for similar economic contexts. It incorporates non-financial variables and macroeconomic data related to the housing market, improving the accuracy of loss severity approximation. The proposed methodology attempts to mitigate the country-specific (related to the local legal) or portfolio-specific factors in aim to show the general advantage of applying ML techniques, rather than case-specific relation. We developed an XGBoost model that does not rely on cash-flow data yet enhances the accuracy of realized LGD estimation compared to results obtained with the delta outstanding approach. A novel aspect of our work is the detailed exploration of the delta outstanding approach and the methodology for addressing conditions of limited access to cash-flow data through machine learning models.


DOI: https://doi.org/10.33138/2957-0506.2024.12.448
Zuzanna Kostecka, Ślepaczuk Robert
LGD Credit risk Outstanding Machine Learning Missing data Mortgage loan financial statements macroeconomic data

WP(21/2021)369. Determinants of residential real estate prices: Poland case study

Authors: Ruszuk Michał, Spirzewski Krzysztof
Real estate market is important part of economy. Its influence is compounded by sectors related to real properties, such as construction, capital and rental markets. Real estate market specifics such as high capital intensity, rigidity of supply and …

WP369. Determinants of residential real estate prices: Poland case study

Real estate market is important part of economy. Its influence is compounded by sectors related to real properties, such as construction, capital and rental markets. Real estate market specifics such as high capital intensity, rigidity of supply and time lags, make macroeconomic imbalance easy to emerge. Sudden changes of market conditions lead to severe consequences for the whole economy. Hence, house markets are important not only for house investors, real estate developers and financial institutions, but also for governments and central banks.
In this paper we propose to constitutes a comprehensive overview of house prices determinants. It can be perceived as residential real estate market guide, especially for polish market. In Poland house prices have been consistently increasing since 1990, when transition to a market economy had place. Statistical Pole gets wealthier from year to year, what in conjunction with a strong desire to be on his own, constitutes the powerful driving force of demand for residential real estates
The methods we used in this study are descriptive method and statistical models in addition scatter plots and Pearson's correlation coefficients between variables are presented. Empirical study are based on polish market data, published by Central Statistical Office and Centrum AMRON-SARFiN. We aggregated them for voivodeships and quarters, and concern 2010-2019 period.


Ruszuk Michał, Spirzewski Krzysztof
real estate market price determinants mortgage

WP(1/2009)11. Breeding Ones' Own Subprime Crisis

Authors: Daras Tomasz, Tyrowicz Joanna
In this paper we take a simulation approach towards household budgets survey, analysing the impact of changes in labour market status of household members on the ability of this household to service the mortgage payments. Using the current status as …

WP11. Breeding Ones' Own Subprime Crisis

In this paper we take a simulation approach towards household budgets survey, analysing the impact of changes in labour market status of household members on the ability of this household to service the mortgage payments. Using the current status as benchmark, we performed simulations using stylised facts about labour market evolutions. Households with mortgage are characterised by higher activity rates and lower unemployment rates than demographically comparable households without a credit. While these are typical preconditions for the credit approval decision, this state of matters may not necessarily persist throughout the entire mortgage service period. Firstly, labour market conditions may worsen in general, comprising the credit takers together with the rest of the population. Alternatively, credit takers may undergo employment experience in the same way as other labour market participants.
Consequently, we performed analyses along two scenarios: (i) households with mortgages will gradually become alike the demographically comparable group in terms of employment performance; and (ii) recognising the fact that debtor households members may exert potentially higher effort in maintaining labour market status we model the effects of general employment outlooks deterioration. We use labour force survey data to obtain the probabilities of changing the individual labour market status, while we resort to propensity score matching techniques to provide adequate benchmark for the changes among creditors with relation to general population.
In the simulations we find the share of creditors losing liquidity with the change in the labour market status and the implied burden to the financial sector stability.


Daras Tomasz, Tyrowicz Joanna
financial sector stability mortgages labour market
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