Jiri Witzany

University of Economics in Prague

Winston Churchilla Sq. 4

Prague 3, 130 67

Czech Republic

SCHOLARLY PAPERS

22

DOWNLOADS
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5,774

CITATIONS
Rank 24,171

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Top 24,171

in Total Papers Citations

11

Scholarly Papers (22)

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 715 (19,960)

Abstract:

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

2.

Interest Rate Swap Credit Valuation Adjustment

IES Working Paper: 16/2014
Number of pages: 20 Posted: 30 Jul 2013 Last Revised: 28 Jun 2017
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 693 (28,595)

Abstract:

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

3.

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 494 (36,240)
Citation 3

Abstract:

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

4.

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 465 (44,473)
Citation 4

Abstract:

credit risk, correlation, recovery rate, regulatory capital

5.

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 419 (52,355)
Citation 1

Abstract:

credit risk, correlation, recovery rate, regulatory capital

6.

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 317 (66,644)

Abstract:

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

7.

Estimating LGD Correlation

Number of pages: 15 Posted: 27 May 2009 Last Revised: 06 Aug 2009
Jiri Witzany
University of Economics in Prague
Downloads 284 (80,230)
Citation 1

Abstract:

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

8.

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 278 (61,180)
Citation 1

Abstract:

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

9.

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 252 (94,953)

Abstract:

interest rate derivatives, Libor in arrears, constant maturity swap

10.

Definition of Default and Quality of Scoring Functions

Number of pages: 19 Posted: 05 Sep 2009
Jiri Witzany
University of Economics in Prague
Downloads 200 (110,688)

Abstract:

credit risk, regulatory capital, default, scoring

11.

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 85 (240,920)

Abstract:

Equivalent martingale measure, option pricing, stochastic processes

12.

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 83 (229,385)
Citation 1

Abstract:

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

13.

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 80 (224,765)

Abstract:

credit risk, Basel II regulation, default rates

14.

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 59 (271,283)

Abstract:

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

15.

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 54 (191,079)

Abstract:

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

16.

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 50 (194,684)

Abstract:

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

17.

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 38 (277,653)

Abstract:

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

18.

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 12 (305,742)

Abstract:

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

19.

A Bayesian Approach to Backtest Overfitting

Number of pages: 24 Posted: 19 Jul 2017
Jiri Witzany
University of Economics in Prague
Downloads 0 (345,550)

Abstract:

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

20.

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 0 (345,550)

Abstract:

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

21.

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 0 (403,206)

Abstract:

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

22.

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 0 (195,914)

Abstract:

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