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Barbara Choroś

E-mail:
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Telephone: +49 30 2093-5807
Fax: +49 30 2093-5649
Postal Address: Ladislaus von Bortkiewicz Chair of Statistics
School of Business and Economics
Humboldt-Universität zu Berlin
Spandauer Strasse 1
10178 Berlin, Germany
Office: Spandauer Strasse 1, room 406
Consultation hours: Wednesday, 17.00-18.30

Classes

Statistics of Financial Markets I
Lecture, WS 2009/10
Monday 16.15-20.00
SPA1, room 23


Project

Pricing the Collateralized Debt Obligations with Multifactor Models


Papers

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


Presentations

Applications of Copulae for the Calculation of Value-at-Risk

Modelling Dependence of Time Series with Copulae


For Students

Statistics I, Exercises part 3 in English

Statistics I, Exercises part 2 in English

Statistics I, Exercises part 1 in English

Revision of Statistics I in English

Statistics II, Exercises part 1 in English

Statistics II, Exercises part 2 in English

Statistics II, Exercises part 3 in English

Statistics II, Exercises part 4 in English

Statistics II, Exercises part 5 in English


All other materials and announcements are available via MOODLE.