Martin Smid

Institute of Information Theory and Automation, Prague

Pod vodarenskou vezi 4

CZ-18208 Praha 8

Czech Republic

http://www.klec.cz/martin

SCHOLARLY PAPERS

11

DOWNLOADS

438

CITATIONS

1

Scholarly Papers (11)

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 76 (239,312)

Abstract:

tail exponents, estimation, price return

2.

Probabilistic Properties of the Continuous Double Auction - Uniform Case

Number of pages: 10 Posted: 25 Jan 2008 Last Revised: 11 Mar 2008
Martin Smid
Institute of Information Theory and Automation, Prague
Downloads 63 (276,826)

Abstract:

continuous double auction, limit order markets, distribution, simulation, statistical inference, price increment tails

3.

Dynamic Model of Loan Portfolio with Lévy Asset Prices

Number of pages: 6 Posted: 12 Aug 2010
Martin Smid
Institute of Information Theory and Automation, Prague
Downloads 47 (305,496)

Abstract:

risk management, loan portfolio, dynamic model

4.

Tractable and Realistic Model of Order Books

Number of pages: 17 Posted: 17 Feb 2012
Martin Smid
Institute of Information Theory and Automation, Prague
Downloads 41 (346,479)

Abstract:

5.

Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors

Number of pages: 16 Posted: 19 Nov 2010 Last Revised: 28 Jun 2012
Martin Smid and Petr Gapko
Institute of Information Theory and Automation, Prague and Charles University in Prague - Department of Economics
Downloads 37 (328,101)

Abstract:

credit risk, probability of default, loss given default, credit loss, credit loss distribution, Basel II

6.

Mean-Risk Optimal Decision of a Steel Company under Emission Control

Number of pages: 20 Posted: 24 Mar 2015 Last Revised: 14 Nov 2015
Frantisek Zapletal and Martin Smid
Technical University of Ostrava - Faculty of Economics and Institute of Information Theory and Automation, Prague
Downloads 8 (437,988)

Abstract:

Stochastic programming, Risk management, Mean-risk modeling, Emission trading, EUA, EU ETS

7.

Modeling a Distribution of Mortgage Credit Losses

Number of pages: 18 Posted: 18 Aug 2010
Martin Smid and Petr Gapko
Institute of Information Theory and Automation, Prague and Charles University in Prague - Department of Economics
Downloads 7 (489,241)
Citation 1

Abstract:

Credit Risk, Mortgage, Delinquency Rate, Generalized Hyperbolic Distribution, Normal Distribution

8.

Dynamic Model of Losses of a Creditor with a Large Mortgage Portfolio

Number of pages: 31 Posted: 27 Jul 2013 Last Revised: 25 Mar 2015
Petr Gapko, Martin Smid and Jan Vorisek
Charles University in Prague - Department of Economics, Institute of Information Theory and Automation, Prague and Academy of Sciences of the Czech Republic
Downloads 1 (512,251)

Abstract:

credit risk, mortgage, loan portfolio, dynamic model, estimation

9.

Dynamic Model of Market with Uninformed Market Maker

Number of pages: 27 Posted: 17 Jun 2016
Martin Smid and Milos Kopa
Institute of Information Theory and Automation, Prague and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 0 (448,262)

Abstract:

market maker, optimal decision, price and inventory, high frequency data, dynamic model

10.

Multi-Period Structural Model of Mortgage Portfolio with Cointegrated Factors

Number of pages: 10 Posted: 20 Dec 2015 Last Revised: 21 Dec 2015
Petr Gapko and Martin Smid
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Prague
Downloads 0 (448,262)

Abstract:

credit risk, mortgage, loan portfolio, dynamic model, estimation

11.

Multi-Period Factor Model of a Loan Portfolio

Number of pages: 53 Posted: 16 Dec 2015 Last Revised: 10 Jun 2016
Martin Smid and Jaroslav Dufek
Institute of Information Theory and Automation, Prague and Institute of Information Theory and Automation, Prague
Downloads 0 (281,251)

Abstract:

credit risk, loan portfolio, dynamic model, PD, LGD, overall loss