Jiri Witzany

University of Economics in Prague

Winston Churchilla Sq. 4

Prague 3, 130 67

Czech Republic

SCHOLARLY PAPERS

25

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5,665

CITATIONS
Rank 24,028

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Top 24,028

in Total Papers Citations

11

Scholarly Papers (25)

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 1,018 (20,483)

Abstract:

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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 689 (35,589)
Citation 3

Abstract:

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

3.

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 525 (50,847)
Citation 4

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credit risk, correlation, recovery 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 485 (56,155)
Citation 1

Abstract:

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credit risk, recovery rate, loss given default, correlation, 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 460 (60,002)
Citation 1

Abstract:

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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 385 (74,310)

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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 326 (89,962)
Citation 1

Abstract:

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

8.

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 284 (104,464)

Abstract:

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interest rate derivatives, Libor in arrears, constant maturity swap

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 244 (122,418)

Abstract:

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credit risk, regulatory capital, default, scoring

10.

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 176 (166,676)

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

11.

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 161 (180,092)

Abstract:

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

12.

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 152 (189,101)

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

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 110 (242,817)

Abstract:

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credit risk, Basel II regulation, default rates

14.

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 105 (250,924)
Citation 1

Abstract:

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

15.

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 94 (270,095)

Abstract:

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

16.

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 94 (270,095)

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Equivalent martingale measure, option pricing, stochastic processes

17.

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 92 (273,838)

Abstract:

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

18.

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 81 (296,331)

Abstract:

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

19.

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 80 (298,447)

Abstract:

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

20.

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 48 (386,377)

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

21.

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 42 (407,538)

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

22.

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 13 (550,062)

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

23.

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 1 (633,584)
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Abstract:

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counterparty credit risk, credit valuation adjustment (CVA), copulas, wrong-way risk (WWR), interest rate swap (IRS).

24.

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 (651,081)

Abstract:

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

25.

A Bayesian Approach to Backtest Overfitting

Posted: 19 Jul 2017 Last Revised: 21 Jun 2018
Jiri Witzany
University of Economics in Prague

Abstract:

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