Jiri Witzany

University of Economics in Prague

Winston Churchilla Sq. 4

Prague 3, 130 67

Czech Republic

SCHOLARLY PAPERS

31

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10,175

SSRN CITATIONS
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SSRN RANKINGS

Top 25,388

in Total Papers Citations

10

CROSSREF CITATIONS

39

Scholarly Papers (31)

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 1,340 (28,863)
Citation 10

Abstract:

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

2.

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 935 (48,284)
Citation 4

Abstract:

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

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 778 (62,093)
Citation 2

Abstract:

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

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 742 (66,089)
Citation 7

Abstract:

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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 641 (79,636)
Citation 10

Abstract:

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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 565 (93,341)
Citation 3

Abstract:

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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 514 (104,990)
Citation 1

Abstract:

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interest rate derivatives, Libor in arrears, constant maturity swap

8.

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 446 (124,450)

Abstract:

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

9.

Estimating LGD Correlation

Number of pages: 15 Posted: 27 May 2009 Last Revised: 06 Aug 2009
Jiri Witzany
University of Economics in Prague
Downloads 380 (149,493)
Citation 4

Abstract:

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

10.

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 363 (157,342)

Abstract:

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

11.

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 333 (172,719)
Citation 2

Abstract:

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

12.

Definition of Default and Quality of Scoring Functions

Number of pages: 19 Posted: 05 Sep 2009
Jiri Witzany
University of Economics in Prague
Downloads 323 (178,481)
Citation 2

Abstract:

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credit risk, regulatory capital, default, scoring

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 277 (209,488)

Abstract:

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

14.

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 268 (216,547)
Citation 3

Abstract:

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

15.

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 234 (247,563)

Abstract:

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

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 233 (248,531)
Citation 1

Abstract:

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

17.

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 211 (272,910)

Abstract:

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

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 210 (274,103)

Abstract:

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

19.

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 194 (294,670)
Citation 1

Abstract:

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credit risk, Basel II regulation, default rates

20.

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 184 (308,915)
Citation 2

Abstract:

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

21.

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 174 (324,735)
Citation 1

Abstract:

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

22.

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 149 (374,463)

Abstract:

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Equivalent martingale measure, option pricing, stochastic processes

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 121 (435,410)
Citation 2

Abstract:

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

24.

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 118 (443,627)
Citation 1

Abstract:

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

25.

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 107 (476,936)
Citation 1

Abstract:

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

26.

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 87 (546,800)

Abstract:

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

27.

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 78 (583,658)

Abstract:

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

28.

Historical calibration of SVJD models with deep learning

Number of pages: 20 Posted: 08 Dec 2023
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Downloads 67 (634,205)

Abstract:

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Stochastic volatility, price jumps, SVJD, neural networks, deep learning, CNN

29.

A Comparison of Neural Networks and Bayesian Approaches for the Heston Model Estimation (Forget Statistics – Machine Learning is Sufficient!)

Number of pages: 17 Posted: 05 Oct 2023
Jiri Witzany and Milan Fičura
University of Economics in Prague and University of Economics, Prague - Faculty of Finance and Accounting
Downloads 58 (681,507)

Abstract:

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Heston model, parameter estimation, neural networks, MCMC

30.

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 45 (761,587)

Abstract:

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

31.

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 (1,173,547)

Abstract:

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