Jiri Witzany

University of Economics in Prague

Winston Churchilla Sq. 4

Prague 3, 130 67

Czech Republic

  • University of Economics in Prague

SCHOLARLY PAPERS

32

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11

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38

Scholarly Papers (32)

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1.

A Two-Factor Model for PD and LGD Correlation

Number of pages: 25 Posted: 22 Sep 2009 Last Revised: 07 Mar 2011
Jiri Witzany
University of Economics in Prague
Downloads 1,226 (26,493)
Citation 10

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credit risk, recovery rate, loss given default, correlation, regulatory capital

2.

Unexpected Recovery Risk and LGD Discount Rate Determination

22nd Australasian Finance and Banking Conference 2009
Number of pages: 19 Posted: 23 Jul 2009 Last Revised: 06 Aug 2009
Jiri Witzany
University of Economics in Prague
Downloads 760 (51,714)
Citation 2

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credit risk, recovery rate, loss given default, discount rate, regulatory capital

3.

A Comparison of EVT and Standard VaR Estimations

Number of pages: 27 Posted: 23 Feb 2011 Last Revised: 07 Mar 2011
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 739 (53,775)
Citation 4

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Risk Measures, Value-at-Risk, Extreme Value Theory, GARCH Estimations, Expected Shortfall, Backtesting

4.

Survival Analysis in LGD Modeling

Number of pages: 24 Posted: 23 Mar 2010
Jiri Witzany, Michal Rychnovsky and Pavel Charamza
University of Economics in Prague, University of Economics, Prague and University of Economics, Prague
Downloads 672 (60,910)
Citation 7

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credit risk, recovery rate, loss given default, correlation, regulatory capital

5.

Loss, Default, and Loss Given Default Modeling

IES Working Paper No. 9/2009
Number of pages: 23 Posted: 12 Feb 2009 Last Revised: 13 Feb 2009
Jiri Witzany
University of Economics in Prague
Downloads 583 (73,004)
Citation 10

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credit risk, correlation, recovery rate, regulatory capital

6.

Basel II Capital Requirement Sensitivity to the Definition of Default

Number of pages: 24 Posted: 29 Sep 2008 Last Revised: 14 Jun 2016
Jiri Witzany
University of Economics in Prague
Downloads 514 (85,388)
Citation 3

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credit risk, correlation, recovery rate, regulatory capital

7.

Valuation of Convexity Related Derivatives

IES Working Paper No. 4/2008
Number of pages: 27 Posted: 14 May 2008 Last Revised: 14 Jul 2017
Jiri Witzany
University of Economics in Prague
Downloads 453 (99,608)
Citation 1

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interest rate derivatives, Libor in arrears, constant maturity swap

8.

Estimating LGD Correlation

Number of pages: 15 Posted: 27 May 2009 Last Revised: 06 Aug 2009
Jiri Witzany
University of Economics in Prague
Downloads 359 (129,781)
Citation 4

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credit risk, recovery rate, loss given default, correlation, regulatory capital

9.

Definition of Default and Quality of Scoring Functions

Number of pages: 19 Posted: 05 Sep 2009
Jiri Witzany
University of Economics in Prague
Downloads 287 (164,600)
Citation 2

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credit risk, regulatory capital, default, scoring

10.

Analysing Cross-Currency Basis Spreads

European Stability Mechanism Working Paper No. 25
Number of pages: 29 Posted: 18 Jul 2017
Jaroslav Baran and Jiri Witzany
European Stability Mechanism and University of Economics in Prague
Downloads 276 (171,462)
Citation 2

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Cross-currency swap, basis spread, overnight indexed swap, cointegration, arbitrage

11.

Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Number of pages: 25 Posted: 20 Jan 2015
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 245 (192,988)
Citation 3

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Stochastic volatility, Bayesian inference, MCMC, Realized variance, Bipower variation, Shrinkage estimator, Jump clustering, Self-Exciting jumps, Hawkes process

12.

Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations

FFA Working Paper 1/2020
Number of pages: 18 Posted: 18 Mar 2020
Jiri Witzany
University of Economics in Prague
Downloads 235 (200,867)

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ICAAP, IFRS 9 provisions, correlation, Probit model, Logit model

13.

A Copula Approach to CVA Modeling

Number of pages: 17 Posted: 04 Nov 2015
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 227 (207,621)

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Counterparty Credit Risk, Credit Valuation Adjustment, Copulas, Wrong-way Risk, Interest Rate Swaps

14.

Wrong-Way Risk – Correlation Coefficient Calibration

Informační bulletin České statistické společnosti, 1–2/2015
Number of pages: 10 Posted: 28 Apr 2015
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 208 (225,548)

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Wrong-way risk, WWR, correlation coefficient calibration, maximum likelihood estimation, CVA

15.

Exposure at Default Modeling with Default Intensities

Number of pages: 29 Posted: 01 Sep 2014 Last Revised: 11 Dec 2014
Jiri Witzany
University of Economics in Prague
Downloads 187 (247,967)

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Credit risk; Exposure at default; Default intensity; Regulatory capital

16.

Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison

Number of pages: 19 Posted: 23 Oct 2013
Samuel Privara, Marek Kolman and Jiri Witzany
University of Economics, Prague, University of Economics and University of Economics in Prague
Downloads 185 (250,299)
Citation 1

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recovery rates, loss given default, retail lending, survival analysis

17.

A Note on the Vasicek’s Model with the Logistic Distribution

Number of pages: 15 Posted: 20 Aug 2012
Jiri Witzany
University of Economics in Prague
Downloads 160 (283,508)
Citation 1

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credit risk, Basel II regulation, default rates

18.

Impact of the Implementation of IFRS 9 on the Czech Banking Sector

Prague Economic Papers, 2021, DOI: 10.18267/j.pep.775
Number of pages: 21 Posted: 04 Jun 2021
Jiri Witzany and Olga Pastiranová
University of Economics in Prague and University of Economics Prague
Downloads 150 (298,991)

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IFRS 9; banks; expected credit loss; loan loss provisions

19.

Interest Rate Risk of Savings Accounts

Number of pages: 12 Posted: 04 Jun 2021
Jiri Witzany and Martin Diviš
University of Economics in Prague and University of Economics, Prague
Downloads 144 (309,152)

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Interest rate risk, savings accounts, non-maturity deposits, cointegration, pass through rate

20.

Estimating Correlated Jumps and Stochastic Volatilities

IES Working Paper No. 35/2011
Number of pages: 36 Posted: 19 Aug 2011 Last Revised: 18 Nov 2011
Jiri Witzany
University of Economics in Prague
Downloads 134 (327,026)
Citation 1

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jump-diffusion, stochastic volatility, MCMC, Value at Risk, Monte Carlo

21.

Construction of Equivalent Martingale Measures with Infinitesimals

Number of pages: 26 Posted: 29 Sep 2008 Last Revised: 01 Apr 2013
Jiri Witzany
University of Economics in Prague
Downloads 111 (375,090)

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Equivalent martingale measure, option pricing, stochastic processes

22.

Estimating Default and Recovery Rate Correlations

Institute of Economic Studies (IES), Faculty of Social Sciences, Charles University in Prague, Working Paper 03/2013
Number of pages: 28 Posted: 04 Apr 2013 Last Revised: 24 May 2013
Jiri Witzany
University of Economics in Prague
Downloads 103 (395,061)
Citation 1

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credit risk, Basel II regulation, default rates, recovery rates, correlation

23.

Sequential Gibbs Particle Filter Algorithm with an Application to Stochastic Volatility and Jumps Estimation

Number of pages: 20 Posted: 27 Jun 2018
Jiri Witzany and Milan Fičura
University of Economics in Prague and University of Economics, Prague - Faculty of Finance and Accounting
Downloads 100 (402,956)
Citation 2

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Bayesian methods, MCMC, Particle filters, stochastic volatility, jumps

24.

Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators

Number of pages: 35 Posted: 01 Aug 2018
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 82 (456,309)
Citation 1

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Stochastic Volatility, Bayesian Inference, MCMC, Particle Filters, Realized Variance, Bipower Variation, Z-Estimator, Jump Clustering, Self-Exciting Jumps, Hawkes Process

25.

Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods

Number of pages: 30 Posted: 24 Jan 2017
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 72 (491,301)

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Asset price jumps, power variation estimators, L-Estimator, Bayesian estimation, SVJD, MCMC, Particle filters, Hawkes process, Self-exciting jumps

26.

Recovery Process Optimization Using Survival Regression

FFA Working Paper 4/2020, University of Economics, Prague.
Number of pages: 25 Posted: 30 Sep 2020
Jiri Witzany and Anastasiia Kozina
University of Economics in Prague and affiliation not provided to SSRN
Downloads 60 (539,584)

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credit risk modelling, survival analysis, scoring, receivables, debt recovery, collection, retail banking, credit risk

27.

A Bayesian Approach to Backtest Overfitting

Number of pages: 25 Posted: 19 Jul 2017 Last Revised: 13 Oct 2020
Jiri Witzany
University of Economics in Prague
Downloads 26 (731,686)

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Backtest, Multiple Testing, Bootstrapping, Cross-Validation, Probability of Backtest Overfitting, Investment Strategy, Optimization, Sharpe Ratio, Bayesian Probability, MCMC

28.

Machine Learning Applications for the Valuation of Options on Non-Liquid Option Markets

Number of pages: 23 Posted: 25 Feb 2023
Jiri Witzany and Milan Fičura
University of Economics in Prague and University of Economics, Prague - Faculty of Finance and Accounting
Downloads 16 (811,928)

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derivatives valuation, options, calibration, neural networks

29.

Determinants of Non-Maturing-Deposit Pass-Through Rates in Eurozone Countries

Number of pages: 22 Posted: 08 Mar 2023
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 9 (875,431)

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Non-Maturing Deposits, NMD, pass-through rate, IRRBB

30.

A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk

Journal of Credit Risk, Forthcoming
Number of pages: 13 Posted: 14 Feb 2018
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 3 (928,345)
Citation 1
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counterparty credit risk, credit valuation adjustment (CVA), copulas, wrong-way risk (WWR), interest rate swap (IRS).

31.

Stressing of Migration Matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process Calculations

Journal of Credit Risk, Vol. 18, No. 3, 2022
Number of pages: 28 Posted: 01 Sep 2022
Jiri Witzany
University of Economics in Prague
Downloads 1 (945,856)
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International Financial Reporting Standard 9 (IFRS 9), Internal Capital Adequacy Assessment Process (ICAAP), transition matrix, default, correlation

32.

Interest Rate Swap Credit Valuation Adjustment

IES Working Paper: 16/2014, https://doi.org/10.3905/jod.2015.23.2.024
Posted: 20 May 2019
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 0 (955,057)

Abstract:

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Counterparty Credit Risk, Credit Valuation Adjustment, Wrong-way Risk, Risky Swaption Price, Semi-analytical Formula, Interest Rate Swap Price