Martin Smid

Institute of Information Theory and Automation, Prague

Pod vodarenskou vezi 4

Praha, CZ-18208

Czech Republic

http://www.klec.cz/martin

SCHOLARLY PAPERS

3

DOWNLOADS

167

CITATIONS

0

Scholarly Papers (3)

1.

On Tails of Stock Returns: Estimation and Comparison between Stocks and Markets

Number of pages: 14 Posted: 19 Mar 2009
Jiří Horák and Martin Smid
Charles University in Prague and Institute of Information Theory and Automation, Prague
Downloads 96 (263,245)

Abstract:

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tail exponents, estimation, price return

2.

Modeling Credit Losses for Multiple Loan Portfolios

Number of pages: 31 Posted: 14 Feb 2018
Petr Gapko and Martin Smid
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Prague
Downloads 41 (406,341)

Abstract:

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Credit Risk, Mortgage, Loan Portfolio, Dynamic Model, Estimation, Interconnectedness, Cointegration

3.

Multi-Period Merton-Vasicek-Pykhtin Model

Number of pages: 52 Posted: 14 Mar 2018 Last Revised: 16 Jun 2018
Martin Smid, Jaroslav Dufek and Jan Vorisek
Institute of Information Theory and Automation, Prague, Institute of Information Theory and Automation, Prague and Czech Academy of Sciences
Downloads 30 (451,524)

Abstract:

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Credit Risk, Structural Factor Models, Loan Portfolio Management