Martin Smid

Institute of Information Theory and Automation, Prague

Pod vodarenskou vezi 4

Praha, CZ-18208

Czech Republic

http://www.klec.cz/martin

  • Institute of Information Theory and Automation, Prague

SCHOLARLY PAPERS

4

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410

SSRN CITATIONS

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Scholarly Papers (4)

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1.

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 Academy of Sciences of the Czech Republic
Downloads 164 (278,068)

Abstract:

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Credit Risk, Structural Factor Models, Loan Portfolio Management

2.

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 126 (342,730)

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tail exponents, estimation, price return

3.

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 109 (380,280)

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

4.

Non-Markov rate kernels: Application to batch auction

Number of pages: 44 Posted: 27 Oct 2021
Martin Smid and Aleš Kuběna
Institute of Information Theory and Automation, Prague and Institute of Information Theory and Automation of the CAS CZ
Downloads 11 (857,869)

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pure-jump process, non-Markov rate kernels, atomic measures \sep completely random measures, batch auction