Details about Jiří Witzany

Access statistics for papers by Jiří Witzany.

Last updated 2024-06-10. Update your information in the RePEc Author Service.

Short-id: pwi154

Working Papers

2023

1. A Comparison of Neural Networks and Bayesian MCMC for the Heston Model Estimation (Forget Statistics - Machine Learning is Sufficient!)
   FFA Working Papers, Prague University of Economics and Business
2. Copula-Based Trading of Cointegrated Cryptocurrency Pairs
   FFA Working Papers, Prague University of Economics and Business
   See also Journal Article Copula-based trading of cointegrated cryptocurrency Pairs, Financial Innovation, Springer (2025) (2025)
3. Historical Calibration of SVJD Models with Deep Learning
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
4. Machine Learning Applications to Valuation of Options on Non-liquid Markets
   FFA Working Papers, Prague University of Economics and Business

2022

5. Determinants of NMD Pass-Through Rates in Eurozone Countries
   FFA Working Papers, Prague University of Economics and Business

2021

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

2020

8. Recovery process optimization using survival regression
   FFA Working Papers, Prague University of Economics and Business
   See also Journal Article Recovery process optimization using survival regression, Operational Research, Springer (2022) (2022)
9. Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations
   FFA Working Papers, Prague University of Economics and Business

2017

10. A Bayesian Approach to Backtest Overfitting
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
11. Analysing Cross-Currency Basis Spreads
    Working Papers, European Stability Mechanism View citations (9)

2014

12. Interest Rate Swap Credit Valuation Adjustment
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (1)

2013

13. 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 View citations (4)
14. Estimating Default and Recovery Rate Correlations
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (2)

2011

15. Estimating Correlated Jumps and Stochastic Volatilities
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies
    See also Journal Article Estimating Correlated Jumps and Stochastic Volatilities, Prague Economic Papers, Prague University of Economics and Business (2013) View citations (5) (2013)

2010

16. Survival Analysis in LGD Modeling
    Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies View citations (3)
    See also Journal Article Survival Analysis in LGD Modeling, European Financial and Accounting Journal, Prague University of Economics and Business (2012) View citations (10) (2012)

2009

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

2008

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

Journal Articles

2025

1. Copula-based trading of cointegrated cryptocurrency Pairs
   Financial Innovation, 2025, 11, (1), 1-32
   See also Working Paper Copula-Based Trading of Cointegrated Cryptocurrency Pairs, FFA Working Papers (2023) (2023)

2023

2. Determinants of Non-maturing Deposit Pass-through Rates in Eurozone Countries
   Politická ekonomie, 2023, 2023, (3), 291-318

2022

3. Interest Rate Sensitivity of Savings Accounts
   Journal of Economics / Ekonomicky casopis, 2022, 70, (4), 349-367
4. Recovery process optimization using survival regression
   Operational Research, 2022, 22, (5), 5269-5296
   See also Working Paper Recovery process optimization using survival regression, FFA Working Papers (2020) (2020)

2021

5. A Bayesian Approach to Measurement of Backtest Overfitting
   Risks, 2021, 9, (1), 1-22
6. Impact of Implementation of IFRS 9 on Czech Banking Sector
   Prague Economic Papers, 2021, 2021, (4), 449-469 View citations (1)

2019

7. 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

2018

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

2016

9. 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 View citations (4)

2014

10. Konstrukce výnosových křivek v pokrizovém období
    (Yield Curve Construction after Crisis)
    Politická ekonomie, 2014, 2014, (1), 67-99 View citations (4)

2013

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

2012

12. Survival Analysis in LGD Modeling
    European Financial and Accounting Journal, 2012, 2012, (1), 6-27 View citations (10)
    See also Working Paper Survival Analysis in LGD Modeling, Working Papers IES (2010) View citations (3) (2010)

2011

13. Exposure at Default Modeling with Default Intensities
    European Financial and Accounting Journal, 2011, 2011, (4), 20-48 View citations (3)

2010

14. 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 (5)
15. Valuation of volatility sensitive interest rate derivatives in an emerging market
    International Journal of Financial Markets and Derivatives, 2010, 1, (4), 438-451 View citations (1)

2009

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

Books

2020

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

2017

2. Credit Risk Management
   Springer Books, Springer View citations (15)

Chapters

2022

1. Does IFRS 9 Increase Volatility of Loan Loss Provisions?
   Springer
2. IFRS 9 – Implications on Procyclicality
   Springer

2020

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

Editor

1. FFA Working Papers
   Prague University of Economics and Business