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prof Piotr Jaworski
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Affiliation:
Warsaw University, Faculty of Mathematics, Computer Science and Mechanics
address:
Banacha 2, Warszawa, 02-097,
Poland
phone:
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:
Bounds for Value at Risk for multiasset portfolios
Financial markets contagion - the copula based approach.
On tail expansions of copulas and modeling multivariate extremes.
On Value at Risk for foreign exchange rates - the copula approach
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