prof Piotr Jaworski

Affiliation:

Warsaw University, Faculty of Mathematics, Computer Science and Mechanics

Participant:

Symposium on Econo- and Sociophysics 2004

Participant:

2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Participant:

3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Participant:

4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

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