Prof. Dr. Claudia Czado
Academic Career and Research Areas
The research activities of Prof. Czado (b. 1959) center on the field of statistics. Her focus lies on modeling complex dependencies including regression effects and time/space structures. Multivariate distributions are constructed for risk management purposes. They allow asymmetrical dependencies which are different for each pair. Computer-aided processes are developed/optimized for adaptation (please see Vine Copula Models). Applications can be found in the finance and insurance industries. A number of cooperation agreements with various international scientists and industry representatives are in place.
After studying in Göttingen, Prof. Czado received her doctorate from Cornell University in the field of Operations Research and Industrial Engineering in 1989. She then became assistant professor and, in 1995, associate professor at York University, Toronto. In 1998, she was appointet to a professorship position in Applied Mathematical Statistics at TUM. Prof. Czado has been published over 120 times. She is the co-founder/coordinator of the “WomenForMathScience” young scientists program and since 1998 has held the position of (acting) women’s representative for the department.
- Fulbright Travel Grant for Senior Scientists (2001)
- Mathematical Sciences Institute Fellowship, Cornell University (1986 - 1987)
- Graduate School Summer Fellowship, Cornell University (1988)
- Graduate School Summer Fellowship, Cornell University (1987)
- Graduate Exchange Fellowship, Georg-August Universität/Cornell University (1982 - 1983)
Key Publications (all publications)
Müller D and Czado C: “Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian dependence”. Journal of Computational and Graphical Statistics, 2018, 27(2): 334 -344Abstract
Bauer A and Czado C: “Pair-copula Bayesian networks“. Journal of Computational and Graphical Statistics, 2016, 25(4):1248–1271.Abstract
Dissmann J, Brechmann EC, Czado C and Kurowicka D: “Selecting and estimating regular vine copulae and application to financial returns”. Computational Statistics & Data Analysis, 2013, 59: 2–69.Abstract
• Aas K, Czado C, Frigessi A and Bakken H: “Pair-copula constructions of multiple dependence“. Insurance: Mathematics and Economics, 2009, 44(2):182–198.Abstract
Czado C, Gneiting T and Held L: “Predictive model assessment for count data“. Biometrics, 2009, 65(4):1254–1261.Abstract