prof Piotr Jaworski

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Affiliation:


Warsaw University, Faculty of Mathematics, Computer Science and Mechanics

address: Banacha 2, Warszawa, 02-097, Poland
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fax:
web: http://www.mimuw.edu.pl

Participant:


Symposium on Econo- and Sociophysics 2004

began: 2004-11-19
ended: 2004-11-20
Presented:

Symposium on Econo- and Sociophysics 2004

On tail expansions of copulas and modeling multivariate extremes.

Participant:


2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

began: 2006-04-21
ended: 2006-04-22
Presented:

2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

On Value at Risk for foreign exchange rates - the copula approach

Participant:


3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

began: 2007-11-22
ended: 2007-11-24
Presented:

3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Bounds for Value at Risk for multiasset portfolios

Participant:


4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

began: 2009-05-07
ended: 2009-05-09
Presented:

4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Financial markets contagion - the copula based approach.

Publications:


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



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