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Details about Jiří Witzany

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Workplace:Katedra Bankovnictví a Pojišťovnictví (Department of Banking and Insurance), Fakulty Financí a Účetnictví (Faculty of Finance and Accounting), Vysoká Škola Ekonomická v Praze (University of Economics Prague), (more information at EDIRC)

Access statistics for papers by Jiří Witzany.

Last updated 2021-06-14. Update your information in the RePEc Author Service.

Short-id: pwi154


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Working Papers

2021

  1. IFRS 9 AND IT´S BEHAVIOUR IN THE CYCLE: THE EVIDENCE ON THE EU COUNTRIES
    FFA Working Papers, Prague University of Economics and Business Downloads
  2. Interest Rate Risk of Savings Accounts
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2020

  1. Recovery process optimization using survival regression
    FFA Working Papers, Prague University of Economics and Business Downloads
  2. Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations
    FFA Working Papers, Prague University of Economics and Business Downloads

2017

  1. A Bayesian Approach to Backtest Overfitting
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  2. Analysing Cross-Currency Basis Spreads
    Working Papers, European Stability Mechanism Downloads View citations (7)

2014

  1. Interest Rate Swap Credit Valuation Adjustment
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

2013

  1. 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 Downloads View citations (3)
  2. Estimating Default and Recovery Rate Correlations
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (2)
    See also Journal Article in Bulletin of the Czech Econometric Society (2014)

2011

  1. Estimating Correlated Jumps and Stochastic Volatilities
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
    See also Journal Article in Prague Economic Papers (2013)

2010

  1. Survival Analysis in LGD Modeling
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (1)
    See also Journal Article in European Financial and Accounting Journal (2012)

2009

  1. Estimating LGD Correlation
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads
  2. Loss, Default, and Loss Given Default Modeling
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads View citations (1)

2008

  1. Valuation of Convexity Related Derivatives
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Downloads

Journal Articles

2021

  1. A Bayesian Approach to Measurement of Backtest Overfitting
    Risks, 2021, 9, (1), 1-22 Downloads

2019

  1. Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation
    Czech Journal of Economics and Finance (Finance a uver), 2019, 69, (5), 463-488 Downloads

2018

  1. Use of Adapted Particle Filters in SVJD Models
    European Financial and Accounting Journal, 2018, 2018, (3), 5-20 Downloads

2016

  1. Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (4), 278-301 Downloads View citations (3)

2014

  1. Estimating Default and Recovery Rate Correlations
    Bulletin of the Czech Econometric Society, 2014, 21, (33) Downloads
    See also Working Paper (2013)
  2. Konstrukce výnosových křivek v pokrizovém období
    (Yield Curve Construction after Crisis)
    Politická ekonomie, 2014, 2014, (1), 67-99 Downloads View citations (5)
  3. Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison
    Bulletin of the Czech Econometric Society, 2014, 21, (32) Downloads

2013

  1. Estimating Correlated Jumps and Stochastic Volatilities
    Prague Economic Papers, 2013, 2013, (2), 251-283 Downloads View citations (5)
    See also Working Paper (2011)

2012

  1. A Comparison of EVT and Standard VaR Estimations
    Bulletin of the Czech Econometric Society, 2012, 19, (29) Downloads View citations (2)
  2. Survival Analysis in LGD Modeling
    European Financial and Accounting Journal, 2012, 2012, (1), 6-27 Downloads View citations (4)
    See also Working Paper (2010)

2011

  1. A Two Factor Model for PD and LGD Correlation
    Bulletin of the Czech Econometric Society, 2011, 18, (28) Downloads View citations (8)
  2. Definition of Default and Quality of Scoring Functions
    Bulletin of the Czech Econometric Society, 2011, 18, (28) Downloads View citations (2)
  3. Exposure at Default Modeling with Default Intensities
    European Financial and Accounting Journal, 2011, 2011, (4), 20-48 Downloads View citations (2)

2010

  1. 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 Downloads View citations (4)
  2. Valuation of volatility sensitive interest rate derivatives in an emerging market
    International Journal of Financial Markets and Derivatives, 2010, 1, (4), 438-451 Downloads

2009

  1. Unexpected Recovery Risk and LGD Discount Rate Determination
    European Financial and Accounting Journal, 2009, 2009, (1), 61-84 Downloads View citations (1)
  2. Valuation of Convexity Related Interest Rate Derivatives
    Prague Economic Papers, 2009, 2009, (4), 309-326 Downloads View citations (2)

Undated

  1. Impact of Implementation of IFRS 9 on Czech Banking Sector
    Prague Economic Papers, preprint Downloads

Books

2020

  1. Derivatives
    Springer Texts in Business and Economics, Springer View citations (2)

2017

  1. Credit Risk Management
    Springer Books, Springer View citations (8)

Chapters

2020

  1. Exotic Options, Volatility Smile, and Alternative Stochastic Models
    Springer
  2. Forwards and Futures
    Springer
  3. Interest Rate Derivatives
    Springer
  4. Interest Rate Models
    Springer
  5. Introduction
    Springer
  6. Market Risk Measurement and Management
    Springer
  7. Option Markets, Valuation, and Hedging
    Springer
  8. Stochastic Interest Rates and the Standard Market Model
    Springer

Editor

  1. FFA Working Papers
    Prague University of Economics and Business
 
Page updated 2021-06-24