Jakub Cerny

Charles University in Prague - Faculty of Mathematics and Physics

Sokolovska 83

Prague, 186 75

Czech Republic

SCHOLARLY PAPERS

5

DOWNLOADS

364

CITATIONS

2

Scholarly Papers (5)

1.

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 167 (177,572)

Abstract:

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

2.

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 157 (187,144)

Abstract:

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

3.

Calibration of Interest Rates

WDS'12 Proceedings of Contributed Papers: Part I – Mathematics and Computer Sciences
Number of pages: 6 Posted: 29 Jul 2013
Jakub Cerny
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 39 (426,160)

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Interest rate models calibration, Vasicek model, Bayesian methods, MCMC algorithm

4.

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 (648,804)
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counterparty credit risk, credit valuation adjustment (CVA), copulas, wrong-way risk (WWR), interest rate swap (IRS).

5.

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 (666,709)

Abstract:

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