Taras Bodnar
Stockholm University
Taras Bodnar received the M.S. degree in mathematics (Hons.) from the Ivan Franko National University of Lviv, Lviv, Ukraine, in 2001, the Ph.D. degree (summa cum laude) in economics and statistics from the European University Viadrina, Frankfurt, Germany in 2004 and the Ph.D. degree in mathematics and physics from the Taras Shevchenko National University of Kyiv, Kyiv, Ukraine in 2009. He is currently a Professor of mathematical statistics with the Department of Mathematics, the Stockholm University, Stockholm, Sweden. From March 2005 to August 2012, he was a Research Associate with the Department of Statistics, European University Viadrina. From September 2012 to November 2014, he was a Research Associate with the Department of Mathematics, Humboldt-University of Berlin, Berlin, Germany. His research interests include high-dimensional statistics, random matrix theory, Bayesian statistics, statistical methods in finance among others. He is a Member of the Editorial Boards of Journal of Multivariate Analysis and Theory of Probability and Mathematical Statistics. In November 2008, he was the recipient of the Young Scientists Award of the Brandenburg state for an outstanding work in the Humanities or Social Sciences.
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Articles by Taras Bodnar
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.