Ostap Okhrin

		Fotograph: Manuel Krug, Handelsblatt (2009).
E-mail:
Telefon:	+49 30 2093-5625
Fax:	+49 30 2093-5649
Address:	Humboldt-Universität zu Berlin Ladislaus von Bortkiewicz Chair of Statistics School of Business and Economics Spandauer Strasse 1 -  R. 405 10178 Berlin, Germany Curriculum Vitae Teaching Refereed and Proceeding Publications Talks

 

Studiengang "Master of Science in Statistics"

 

Teaching

 

• Winter term 09/10

• Multivariate Statistical Analysis
• Economic Risk Seminar
• Mathematical Statistics Seminar

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• Summer term 09

• Statistik I	Wahrscheinlichkeitstheorie.pdf
  	DeskriptiveStatistik.pdf (neu)
  	bivariateDeskriptiveStatistik.pdf (neu)

• Statistical Programming Languages

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• Winter term 08/09

• Statistik II
• Statistical Tools in Finance and Insurance

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  Summer term 08

• Multivariate Statistical Analysis II
  

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Refereed and Proceeding Publications

• please refer to the CRC 649

 

• Choroś, B., Härdle, W. and Okhrin, O., CDO and HAC, submitted for publication, forthcoming, 2009
  

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• Härdle, W. and Okhrin, O., De copulis non est disputandum - Copulae: an Overview, AStA - Advances in Statistical Analysis, forthcoming, 2009
  

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• Okhrin, O., Odening, M., Filler, G. and Xu, W., On the Systemic Nature of Weather Risk. In Bulletin of the International Association of Agricultural Economists' 2009 Conference, August 16-22, 2009, Beijing, China, 2009
  

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• Härdle, W., Okhrin, O. and Choros, B., CDO Pricing with Copulae. In Bulletin of the International Statistical Institute, 57th Session Durban Vol. 57. Bulletin of the International Statistical Institute, 2009
  

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• Härdle, W., Okhrin, O., and Okhrin, Y., Modeling Dependencies in Finance using Copulae, Applied Quantitative Finance, eds. W. Härdle, N. Hautsch and L. Overbeck, second edition, 2008
  
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• Okhrin, O., Okhrin, Y. and Schmid, W., Some properties of hierarchical Archimedean copulas, submitted for publication, 2008
  
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• Okhrin, O., Okhrin, Y. and Schmid, W., On the structure and estimation of hierarchical Archimedean copulae, under revision in Journal of Econometrics, 2007
  
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• Okhrin, O., Yatsyshynets (Okhrin), I. and Yeleyko, Ya., Portfolio selection based on the internal yield requirement, 7-th international workshop for young mathematicians: Applied Mathematics (Conference proceedings), - Cracow, Polen, p.131-149, 2005
  

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Talks

 

• Qua de causa copula me placent: Statistics of joint events

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• Determining the Structure and Estimation of Hierarchical Archimedean Copulae

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• Introduction to Copulas

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• Dynamics of the Multivariate Copula-based Models

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• Asymptotic behavior of S-stopped branching processes with countable state space

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