Humboldt-Universität zu Berlin - Statistik

Statistik | bc

Barbara Choroś-Tomczyk

E-mail:
Telephone:	+49 30 2093-5723
Fax:	+49 30 2093-5649
Postal Address:	Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. - Center for Applied Statistics & Economics Humboldt-Universität zu Berlin Unter den Linden 6 10099 Berlin, Germany
Office:	School of Business and Economics Spandauer Strasse 1, room 407 10178 Berlin, Germany
Consultation hours:	Friday, 11.00-12.00

Classes

Summer Semester 2012

Statistics of Financial Markets II (Lecture)
Monday, 16.15-17.45
SPA1, room 23

Project

Pricing the Collateralized Debt Obligations with Multifactor Models

Papers

Choroś-Tomczyk, B., Härdle, W. and Overbeck, L. (2012). Copula Dynamics in CDOs.
Discussion paper, SFB 649, Humboldt Universität zu Berlin.
Submitted for publication

Choroś, B., Ibragimov, R. and Permiakova, E. (2010). Copula Estimation.
in: Workshop on Copula Theory and its Applications, Durante, F., Härdle, W., Jaworski, P. , Rychlik, T., (eds.), Springer, Dortrecht (NL).

Choroś, B., Härdle, W. and Okhrin, O. (2009). CDO and HAC.
Discussion paper, SFB 649, Humboldt Universität zu Berlin.
Submitted for publication

Choroś, B., Härdle, W. and Okhrin, O. (2009). CDO Pricing with Copulae.
Bulletin of the International Statistical Institute, 57th Session, Vol. 57

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