The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas.
In my talk I will deal with the class of copulas having homogeneous lower tails.
I shall show that having only such information on the structure of dependence of returns from
assets is enough to get estimates on Value at Risk of the  multiasset portfolio in terms of Value at Risk of one-asset portfolios.
The practical usefulness of these estimations will be illustrated by the analysis of the exchange
rates  at the Polish forex market.

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1. Financial markets contagion - the copula based approach.
2. On Value at Risk for foreign exchange rates - the copula approach
3. On tail expansions of copulas and modeling multivariate extremes.