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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web: http://www.mimuw.edu.pl

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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