Details about Jiří Witzany
Access statistics for papers by Jiří Witzany.
Last updated 2013-06-13. Update your information in the RePEc Author Service.
Short-id: pwi154
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Working Papers
2013
- A Note on the Vasicek’s Model with the Logistic Distribution
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 
- Estimating Default and Recovery Rate Correlations
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2011
- Estimating Correlated Jumps and Stochastic Volatilities
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2010
- Survival Analysis in LGD Modeling
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (1)
See also Journal Article in European Financial and Accounting Journal (2012)
2009
- Estimating LGD Correlation
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
- Loss, Default, and Loss Given Default Modeling
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
2008
- Valuation of Convexity Related Derivatives
Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
Journal Articles
2012
- A Comparison of EVT and Standard VaR Estimations
Bulletin of the Czech Econometric Society, 2012, 19, (29)
- Survival Analysis in LGD Modeling
European Financial and Accounting Journal, 2012, 2012, (1), 6-27
See also Working Paper (2010)
2011
- A Two Factor Model for PD and LGD Correlation
Bulletin of the Czech Econometric Society, 2011, 18, (28) View citations (1)
- Definition of Default and Quality of Scoring Functions
Bulletin of the Czech Econometric Society, 2011, 18, (28) View citations (1)
- Exposure at Default Modeling with Default Intensities
European Financial and Accounting Journal, 2011, 2011, (4), 20-48
2010
- On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model
Czech Journal of Economics and Finance (Finance a uver), 2010, 60, (3), 252-268 View citations (1)
- Valuation of volatility sensitive interest rate derivatives in an emerging market
International Journal of Financial Markets and Derivatives, 2010, 1, (4), 438-451
2009
- Unexpected Recovery Risk and LGD Discount Rate Determination
European Financial and Accounting Journal, 2009, 2009, (1), 61-84 View citations (1)
- Valuation of Convexity Related Interest Rate Derivatives
Prague Economic Papers, 2009, 2009, (4), 309-326 View citations (1)
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