Research group:
Copulae in Mathematical and Quantitative Finance
17 - 22 January, 2012, Kraków, Przegorzały
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Nowadays, copulas represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection. In the past, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite its simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have underlined new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc). All such investigations need to be further developed and promoted. This workshop will serve at the scope.
To get more information about the workshop see http://worcotha.mimuw.edu.pl
Organizing Committee
- Fabrizio Durante
- Krystyna Jaworska
- Piotr Jaworski
- Ostap Okhrin
Scientific Committee
- Claudia Czado
- Fabrizio Durante
- Wolfgang Haerdle
- Jacek Jakubowski
- Piotr Jaworski
- Peter Klement
- Ostap Okhrin
- Friedrich Schmid
- Carlo Sempi
- Fabio Spizzichino
List of invited speakers
- Tomasz Bielecki (Illinois Institute of Technology, Chicago, USA), Dependence between components of multivariate Markov chains: Markov consistency and Markov copulae (abstract)
- Umberto Cherubini (Universita di Bologna, Italy), Convolution based copulas in finance (abstract)
- Christian Genest (McGill University, Montréal, Canada), Beyond simplified pair-copula constructions (abstract)
- Dorota Kurowicka (Delft University of Technology, Netherlands), Regular vines with nonparametric copulas (abstract)
- Haijun Li (Washington State University, Seatle, USA), Toward a Copula Theory for Multivariate Regular Variation (abstract)
- Giovanni Puccetti (Universita di Firenze, Italy), Risk Aggregation: new ideas and quantitative techniques (abstract)
- Matthias Scherer (Technische Universität München, Germany), Multivariate geometric distributions with limited memory, d-monotone sequences, and infinitely divisible laws (abstract)
- Peter Song (University of Michigan, Ann Arbor, USA), Copula Regression Analysis of Networked Data (abstract)