Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

New methods of market risk and capital reserves adequacy analysis

2024/53/B/HS4/00433

Keywords:

market risk capital reserves basel accords quantification of risk and utility long-run dependence risk factors integrated models robust analysis

Descriptors:

  • HS4_03:
  • ST1_13:
  • ST1_17:

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Jagielloński

woj. małopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Marcin Lucjan Pitera 

Number of co-investigators in the project: 5

Call: OPUS 27 - announced on 2024-03-21

Amount awarded: 484 059 PLN

Project start date (Y-m-d): 2025-01-27

Project end date (Y-m-d): 2028-01-26

Project duration:: 36 months (the same as in the proposal)

Project status: Pending project

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Information in the final report

  • Publication in academic press/journals (2)
  • Articles in post-conference publications (2)
  1. Identifying the temporal distribution structure in multivariate data for time-series segmentation based on two-sample test
    Authors:
    Justyna Witulska, Marta Hendler, Magdalena Kasprowicz, Marek Czosnyka, Ireneusz Jabłoński, Agnieszka Wyłomańska
    Academic press:
    Information Fusion (rok: 2026, tom: 125, strony: 103445), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.inffus.2025.103445 - link to the publication
  2. Stochastic self-similarity and stationarity: Novel perspectives for heterogeneous and multifractal processes
    Authors:
    Hubert Woszczek, Agnieszka Wyłomańska, Samudrajit Thapa, Aleksei Chechkin
    Academic press:
    Chaos (rok: 2026, tom: 36, strony: 23143), Wydawca: AIP Publishing
    Status:
    Published
    DOI:
    10.1063/5.0303279 - link to the publication
  1. Framework for Unveiling Change Points in Multivariate Signals with Non-Gaussian Patterns
    Authors:
    Justyna Witulska, Marta Hendler, Magdalena Kasprowicz, Marek Czosnyka, Agnieszka Wyłomańska, Ireneusz Jabłoński
    Conference:
    2025 33rd European Signal Processing Conference (EUSIPCO) (rok: 2025, tom: 2025 33rd European Signal Processing Conference (EUSIPCO), strony: 2582-2586), Wydawca: IEEE
    Data:
    konferencja 08-12 September 2025
    Status:
    Published
    DOI:
    10.23919/EUSIPCO63237.2025.11226194 - link to the publication
  2. Blackwell optimality in risk-sensitive stochastic control
    Authors:
    Marcin Pitera, Łukasz Stettner
    Conference:
    2025 11th International Conference on Control, Decision and Information Technologies (CoDIT) (rok: 2026, tom: 2025 11th International Conference on Control, Decision and Information Technologies (CoDIT), strony: 320-324), Wydawca: IEEE
    Data:
    konferencja 15-18 July 2025
    Status:
    Published
    DOI:
    10.1109/CoDIT66093.2025.11321525 - link to the publication

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy