Workshop Copula modeling: New challenges and techniques

Organizers

Prof. Fabrizio Durante and Prof. Matthias Scherer

Time and Venue

Monday, 9.9.2013: 10.00 – 13.00 and 14.00 – 18.00, Room 0.01.17

Description

Copula models have become very popular in the last years due to their flexibility in handling dependence. However, in view of a more profitable use of the concept, new ideas are required in order to capture some aspects of modern stochastic modeling: high-dimensional structures, extreme dependence, and time-varying behavior of the models. In this workshop, selected scientists present their work related to these challenging problems.

Registration

Please register for the workshop "Copula modeling: New challenges and techniques" using the form below. There is no additional registration fee for this workshop.

Confirmed speakers

Part 1 (10:00 - 11:30)

Fischer, Matthias: "Copula-based credit portfolio models"
Hofert, Marius: "Computational challenges in copula modeling"
Mainik, Georg: "Hierarchical risk aggregation: sample reordering, empirical copulas, and convergence of sum distributions"

Coffee Break (30 minutes)

Part 2 (12:00 - 13:00)

Okhrin, Ostap: "Efficient and Sparse Estimation of Copula-Based Models for Multivariate Time Series"
Puccetti, Giovanni: "How much superadditive Value-at-Risk can be?"

Lunch (60 minutes)

Part 3 (14:00 - 15:30)

Di Lascio, Marta: "A copula-based approach for discovering inter-cluster dependence relationships"
Jaworski, Piotr: "Copula based coupling of Wiener processes"
Kolev, Nikolai: "Sibuya-type copula function"

Coffee Break (30 minutes)

Part 4 (16:00 - 18:00)

Mulinacci, Sabrina: "On a Marshall-Olkin type copula function"
Schenk, Steffen: "Sato-frailty copulas and selfdecomposable Bernstein functions"
Shenkman, Natalia: "Support extendibility and limit laws of multivariate geometric distributions with lack of memory"
Trutschnig, Wolfgang: "Some useful and surprising consequences of the Markov kernel perspective of two-dimensional copulas"