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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 2020-06-20. Update your information in the RePEc Author Service.

Short-id: pwi154


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Working Papers

2020

  1. Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations
    FFA Working Papers, University of Economics, Prague 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 (5)

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 (2)
  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

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 (2)

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 (2)
  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 (3)
    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 (6)
  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 (1)

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)

Books

2017

  1. Credit Risk Management
    Springer Books, Springer View citations (6)

Editor

  1. FFA Working Papers
    University of Economics, Prague
 
Page updated 2020-07-29