- Marek J. Karwanski

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Affiliation:


Szkoła Główna Gospodarstwa Wiejskiego

address: Nowoursynowska 166, Warszawa, 02-787, Poland
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Participant:


6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

began: 2012-04-19
ended: 2012-04-21
Presented:

6 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Models of rating dynamics

Participant:


8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

began: 2015-11-04
ended: 2015-11-07
Presented:

8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Mixed models and ensemble methods and their performance in LGD modeling.

Participant:


Econophysics Colloquium 2017

began: 2017-07-04
ended: 2017-07-07
Presented:

Econophysics Colloquium 2017

Modeling correlations in operational risk

Publications:


  1. Analysis of stability of  operational risk models
  2. Application of migration matrices to risk evaluation and their effect on portfolio value
  3. Mixed models and ensemble methods and their performance in LGD modeling.
  4. Modeling correlations in operational risk
  5. Models of rating dynamics
  6. Propensity score matching and its application to risk drivers selection in financial setting



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