Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego
Publications
Piotr Jaworski
2019
- Noppadon Kamnitui, Christian Genest, Piotr Jaworski and Wolfgang Trutschnig, On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman’s rho or Kendall’s tau, Journal Of Mathematical Analysis And Applications 472 2019, p. 920–936.see in PBN
- Piotr Jaworski, Aleksander Kowalski, Kamil Liberadzki and Marcin Liberadzki, Obligacje typu CoCo i bail-in jako instrumenty rekapitalizacji banków i zwiększenia stabilności finansowej, Materiały I Studia Nbp 335 2019, p. 1–149.see in PBN
2018
- Mauro Bernardi, Fabrizio Durante, Piotr Jaworski, Lea Petrella and Gianfausto Salvadori, Conditional Risk based on multivariate Hazard Scenarios, Stochastic Environmental Research And Risk Assessment 32 2018, p. 203–211.see in PBN
- Piotr Jaworski, Kamil Liberadzki and Marcin Liberadzki, Principles of the toll roads pricing, Archives Of Transport 45 (1) 2018, p. 53–62.see in PBN
2017
- Mauro Bernardi, Fabrizio Durante and Piotr Jaworski, CoVaR of families of copulas, Statistics & Probability Letters 120 2017, p. 8–17.see in PBN
- Piotr Jaworski, Kamil Liberadzki and Marcin Liberadzki, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach., Economic Modelling 60 2017, p. 162–168.see in PBN
- F. Marta Di Lascio, Fabrizio Durante and Piotr Jaworski, A test for truncation invariant dependence, in: Soft Methods for Data Science, Springer, 2017, p. 173–180.see in PBN
- Piotr Jaworski, On Conditional Value at Risk (CoVaR) for tail-dependent copulas, Dependence Modeling 5 2017, p. 1–19.see in PBN
- Piotr Jaworski and Marcin Pitera, A note on conditional covariance matrices for elliptical distributions, Statistics & Probability Letters 129 2017, p. 230–235..see in PBN
- Piotr Jaworski, On truncation invariant copulas and their estimation, Dependence Modeling 5 2017, p. 133–144.see in PBN
- Piotr Jaworski, On the Conditional Value-at-Risk (CoVaR) in copula setting, in: Copulas and Dependence Models with Applications, Springer International Publishing, Cham 2017, r. 7, p. 95–117.see in PBN
- Piotr Jaworski, Kamil Liberadzki and Marcin Liberadzki, Contagion and divergence on sovereign bond markets, Copernican Journal Of Finance & Accounting 6 (4) 2017, p. 39–68.see in PBN
2015
- Fabrizio Durante, Enrico Foscolo, Piotr Jaworski and Hao Wang, Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector, in: Strengthening Links Between Data Analysis and Soft Computing, Springer, Cham 2015, p. 217–224.see in PBN
- Piotr Jaworski, Univariate conditioning of vine copulas, Journal Of Multivariate Analysis 138 2015, p. 89–103.see in PBN
2014
- Fabrizio Durante, Enrico Foscolo, Piotr Jaworski and Hao Wang, A spatial contagion measure for financial time series, Expert Systems With Applications 41 (8) 2014, p. 4023–4034.see in PBN
- Piotr Jaworski and Marcin Pitera, On spatial contagion and multivariate GARCH models, Applied Stochastic Models In Business And Industry 30 2014, p. 303–327.see in PBN
- Piotr Jaworski, On the Characterization of Copulas by Differential Equations, Communications In Statistics-theory And Methods 43 2014, p. 3402–3428.see in PBN
2013
- Piotr Jaworski and Marcin Krzywda, Coupling of Wiener Processes by Copulas, Statistics & Probability Letters 83 2013, p. 2027–2033.see in PBN
- Piotr Jaworski, Fabrizio Durante and Wolfgang Karl Haerdle (eds.), Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, Springer, 2013.see in PBN
- Piotr Jaworski, The limiting properties of copulas under univariate conditioning, in: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, Springer, 2013, r. 7, p. 129–163.see in PBN
- Piotr Jaworski, On copulas and differential inclusions, in: Synergies of Soft Computing and Statistics for Intelligent Data Analysis, Springer, 2013.see in PBN
- Piotr Jaworski and Jacek Micał, Pojęcie ubezpieczenia i podstawowa terminologia, in: Ubezpieczenia, Polskie Wydawnictwo Ekonomiczne, Warszawa 2013, r. 1, p. 17–37.see in PBN
- Piotr Jaworski, Invariant dependence structure under univariate truncation: the high-dimensional case, Statistics 47 (5) 2013, p. 1064–1074.see in PBN
2011
- Fabrizio Durante, Piotr Jaworski and Radko Mesiar, Invariant dependence structures and Archimedean copulas, Statistics & Probability Letters 81 2011, p. 1995–2003.see in PBN
- Piotr Jaworski, On modelling the increasing dependence of extremal events, in: Proceedings Applied Stochastic Models and Data Analysis (ASMDA2011) , Italy, ASMDA, Roma, Italy 2011.see in PBN
2010
- Fabrizio Durante and Piotr Jaworski, A new characterization of bivariate copulus, Communications In Statistics-theory And Methods 39 2010, p. 2910–2912.see in PBN
- Piotr Jaworski, Testing archimedeanity, in: Combining Soft Computing and Statistical Methods in Data Analysis, Springer, Berlin 2010.see in PBN
- Piotr Jaworski, Tail behaviour of copulas, in: Copula theory and its applications, Springer, Heidelberg 2010.see in PBN
- Piotr Jaworski, Ekonometria, Uniwersytet Warszawski, Warszawa 2010.see in PBN
- Piotr Jaworski and Krystyna JAWORSKA, Rynki kapitałowe, Uniwersytet Warszawski, Warszawa 2010.see in PBN
- Piotr Jaworski (ed.), Copula Theory and its Applications, Springer-Verlag, 2010.see in PBN
- Fabrizio Durante and Piotr Jaworski, Spatial contagion between financial markets: a copula-based approach, Applied Stochastic Models In Business And Industry 26 2010, p. 551–564.see in PBN
- Tomasz RychlikPiotr Jaworski, Fabrizio Durante and Wolfgang Hardle (eds.), Copula theory and its applications. Proceedings of the Worshop Held in Warsaw, 25-26 Sept., Springer, Heidelberg 2010.see in PBN
2008
- P Jaworski, Bounds for Value at Risk, for Multiasset Portfolios, Acta Physica Polonica A 114 2008, p. 619–627.see in PBN
- F. Durante and Piotr Jaworski, Absolutely continuous copulas with given diagonal sections, Communications In Statistics-theory And Methods 37 (18) 2008, p. 2924–2942.see in PBN
- Piotr Jaworski, Bounds for value at risk for multiasset portfolios, Acta Physica Polonica A 114 2008, p. 619–627.see in PBN
- Piotr Jaworski and Tomasz Rychlik, On distributions of order statistics for absolutely continuous copulas with applications to reliability, Kybernetika 44 2008, p. 757–776.see in PBN
- Piotr Jaworski, Bounds for Value at Risk - the approach based on copulas with homogeneous tails, Mathware & Soft Computing XV (1) 2008, p. 113–124.see in PBN
2007
- Piotr Jaworski, Zastosowanie kopuli do modelowania zdarzeń ekstremalnych, in: Metody ilościowe w badaniach ekonomicznych, SGGW, Warszawa 2007.see in PBN
- Piotr Jaworski, Bounds for value and risk for asymptotically dependent assets-the copula approach, in: New dimensions in fuzzy logic and related technologies. Proceedings of the 5th EUSFLAT conference, University of Ostrava, Ostrava 2007.see in PBN
2000
- Piotr Jaworski, On the strong Hasse principle for fields of quotients of power series in two variables, Mathematische Zeitschrift (DOI10.1007) 2000, p. 1–19.see in PBN
- Piotr Jaworski, On the topological triviality along moduli of deformations of $J_{k,0}$ singularities, Annales Polonici Mathematici 75 2000, p. 193–212.see in PBN
- Piotr Jaworski, Wycena portfela kredytowego, Bank I Kredyt XXXI (9) 2000, p. 75–80.see in PBN
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