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.
Additional remarks:
The workshop will take place in Kraków, Poland, in the period of 10th - 11th July 2012. It will be preceded by the minicourse "Copulae modelling from a mathematical and computational point of view" (9th July).
The registration will start on Monday 9th at 8:30 am and we are planning to conclude the workshop Wednesday afternoon. This workshop is a second workshop devoted to copula theory organized in Poland. The previous one was held in September 2009 in Warsaw ("Copula Theory and Its Applications").
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