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Jiri Witzany
(Jiří Witzany)

Personal Details

First Name:Jiri
Middle Name:
Last Name:Witzany
Suffix:
RePEc Short-ID:pwi154

Affiliation

Katedra Bankovnictví a Pojišťovnictví
Fakulty Financí a Účetnictví
Vysoká Škola Ekonomická v Praze

Praha, Czech Republic
http://nb.vse.cz/kbp/

: 224 095 102
(02) 24 22 06 57
Náměstí Winstona Churchilla 4, Praha 3, 137 01
RePEc:edi:dbvsecz (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.
  2. Jiri Witzany, 2017. "A Bayesian Approach to Backtest Overfitting," Working Papers IES 2017/18, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
  3. Jakub Cerny & Jiri Witzany, 2014. "Interest Rate Swap Credit Valuation Adjustment," Working Papers IES 2014/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2014.
  4. Jiri Witzany, 2013. "A Note on the Vasicek’s Model with the Logistic Distribution," Working Papers IES 2013/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2013.
  5. Jiri Witzany, 2013. "Estimating Default and Recovery Rate Correlations," Working Papers IES 2013/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.
  6. Jiří Witzany, 2011. "Estimating Correlated Jumps and Stochastic Volatilities," Working Papers IES 2011/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.
  7. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2010. "Survival Analysis in LGD Modeling," Working Papers IES 2010/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2010.
  8. Jiří Witzany, 2009. "Loss, Default, and Loss Given Default Modeling," Working Papers IES 2009/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2009.
  9. Jiří Witzany, 2009. "Estimating LGD Correlation," Working Papers IES 2009/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2009.
  10. Jiří Witzany, 2008. "Valuation of Convexity Related Derivatives," Working Papers IES 2008/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Mar 2008.

Articles

  1. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
  2. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období
    [Yield Curve Construction after Crisis]
    ," Politická ekonomie, University of Economics, Prague, vol. 2014(1), pages 67-99.
  3. Samuel Prívara & Marek Kolman & Jiri Witzany, 2014. "Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(32).
  4. Jiri Witzany, 2014. "Estimating Default and Recovery Rate Correlations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(33).
  5. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, University of Economics, Prague, vol. 2013(2), pages 251-283.
  6. Jaroslav Baran & Jiří Witzany, 2012. "A Comparison of EVT and Standard VaR Estimations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).
  7. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2012. "Survival Analysis in LGD Modeling," European Financial and Accounting Journal, University of Economics, Prague, vol. 2012(1), pages 6-27.
  8. Jiří Witzany, 2011. "Exposure at Default Modeling with Default Intensities," European Financial and Accounting Journal, University of Economics, Prague, vol. 2011(4), pages 20-48.
  9. Jiri Witzany, 2011. "Definition of Default and Quality of Scoring Functions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
  10. Jiri Witzany, 2011. "A Two Factor Model for PD and LGD Correlation," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
  11. Jiøí Witzany, 2010. "On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(3), pages 252-268, August.
  12. Jiri Witzany, 2010. "Valuation of volatility sensitive interest rate derivatives in an emerging market," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(4), pages 438-451.
  13. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, University of Economics, Prague, vol. 2009(4), pages 309-326.
  14. Jiří Witzany, 2009. "Unexpected Recovery Risk and LGD Discount Rate Determination," European Financial and Accounting Journal, University of Economics, Prague, vol. 2009(1), pages 61-84.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jiri Witzany, 2013. "A Note on the Vasicek’s Model with the Logistic Distribution," Working Papers IES 2013/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2013.

    Cited by:

    1. Hana Džmuráňová & Petr Teplý, 2016. "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, University of Economics, Prague, vol. 2016(5), pages 617-633.

  2. Jiří Witzany, 2011. "Estimating Correlated Jumps and Stochastic Volatilities," Working Papers IES 2011/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.

    Cited by:

    1. Karel Janda & Van Quang Tran & Pavel Zetek, 2015. "Faktory ovlivňující zapojení žen v mikrofinancích
      [The Factors Influencing the Participation of Women in Microfinance]
      ," Politická ekonomie, University of Economics, Prague, vol. 2015(3), pages 363-381.
    2. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích
      [Cluster Analysis of Jumps on Capital Markets]
      ," Politická ekonomie, University of Economics, Prague, vol. 2016(2), pages 127-144.
    3. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.

  3. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2010. "Survival Analysis in LGD Modeling," Working Papers IES 2010/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2010.

    Cited by:

    1. Matuszyk, Anna & So, Mee Chi & Mues, Christophe & Moore, Angela, 2016. "Modelling repayment patterns in the collections process for unsecured consumer debt: A case studyAuthor-Name: Thomas, Lyn C," European Journal of Operational Research, Elsevier, vol. 249(2), pages 476-486.
    2. Rumyantseva, Ekaterina & Furmanov, Kirill, 2017. "Realisation of mortgage property: Survival analysis," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 48, pages 22-43.
    3. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank, Research Department.

  4. Jiří Witzany, 2009. "Loss, Default, and Loss Given Default Modeling," Working Papers IES 2009/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2009.

    Cited by:

    1. Janda, Karel & Moreira, David, 2016. "Predicting bankruptcy in European e-commerce sector," MPRA Paper 74460, University Library of Munich, Germany.

Articles

  1. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období
    [Yield Curve Construction after Crisis]
    ," Politická ekonomie, University of Economics, Prague, vol. 2014(1), pages 67-99.

    Cited by:

    1. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.

  2. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, University of Economics, Prague, vol. 2013(2), pages 251-283.
    See citations under working paper version above.
  3. Jaroslav Baran & Jiří Witzany, 2012. "A Comparison of EVT and Standard VaR Estimations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).

    Cited by:

    1. Kittiya Chaithep & Songsak Sriboonchitta & Chukiat Chaiboonsri & Pathairat Pastpipatkul, 2012. "Value at Risk Analysis of Gold Price Returns Using Extreme Value Theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 151-168, December.

  4. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2012. "Survival Analysis in LGD Modeling," European Financial and Accounting Journal, University of Economics, Prague, vol. 2012(1), pages 6-27.
    See citations under working paper version above.
  5. Jiří Witzany, 2011. "Exposure at Default Modeling with Default Intensities," European Financial and Accounting Journal, University of Economics, Prague, vol. 2011(4), pages 20-48.

    Cited by:

    1. Tong, Edward N.C. & Mues, Christophe & Brown, Iain & Thomas, Lyn C., 2016. "Exposure at default models with and without the credit conversion factor," European Journal of Operational Research, Elsevier, vol. 252(3), pages 910-920.

  6. Jiri Witzany, 2011. "Definition of Default and Quality of Scoring Functions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).

    Cited by:

    1. Martin Rezac & Frantisek Rezac, 2011. "How to Measure the Quality of Credit Scoring Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 486-507, November.

  7. Jiri Witzany, 2011. "A Two Factor Model for PD and LGD Correlation," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).

    Cited by:

    1. Petr Gapko & Martin Smid, 2012. "Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 125-140, May.
    2. Petr Gapko & Martin Smid, 2016. "Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 565-574, December.
    3. Jiri Witzany, 2013. "Estimating Default and Recovery Rate Correlations," Working Papers IES 2013/03, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2013.

  8. Jiøí Witzany, 2010. "On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(3), pages 252-268, August.

    Cited by:

    1. Janda, Karel & Kravtsov, Oleg, 2016. "Interdependencies between Leverage and Capital Ratios in the Central and Eastern European Banks," MPRA Paper 74560, University Library of Munich, Germany.
    2. Martin Mandel & Vladimír Tomšík, 2011. "Regulace bankovního sektoru z pohledu ekonomické teorie
      [Regulation of the Banking Sector From the Economic Theory´s Point of View]
      ," Politická ekonomie, University of Economics, Prague, vol. 2011(1), pages 58-81.
    3. Janda, Karel & Moreira, David, 2016. "Predicting bankruptcy in European e-commerce sector," MPRA Paper 74460, University Library of Munich, Germany.
    4. Janda, Karel & Kravtsov, Oleg, 2016. "Interdependencies between Leverage and Capital Ratios in the Banking Sector of the Czech Republic," MPRA Paper 74457, University Library of Munich, Germany.

  9. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, University of Economics, Prague, vol. 2009(4), pages 309-326.

    Cited by:

    1. Martin Pohl, 2012. "Czech Swap Market in the Crisis Period," Prague Economic Papers, University of Economics, Prague, vol. 2012(1), pages 101-122.

  10. Jiří Witzany, 2009. "Unexpected Recovery Risk and LGD Discount Rate Determination," European Financial and Accounting Journal, University of Economics, Prague, vol. 2009(1), pages 61-84.

    Cited by:

    1. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2010. "Survival Analysis in LGD Modeling," Working Papers IES 2010/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2010.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (6) 2009-02-22 2009-09-26 2011-11-28 2013-06-16 2013-06-16 2014-12-19. Author is listed
  2. NEP-ECM: Econometrics (4) 2009-09-26 2010-02-27 2011-11-28 2017-10-01
  3. NEP-BAN: Banking (3) 2010-02-27 2013-06-16 2013-06-16
  4. NEP-CBA: Central Banking (1) 2014-12-19
  5. NEP-CFN: Corporate Finance (1) 2013-06-16
  6. NEP-ETS: Econometric Time Series (1) 2011-11-28
  7. NEP-FMK: Financial Markets (1) 2008-03-15
  8. NEP-MAC: Macroeconomics (1) 2008-03-15
  9. NEP-MON: Monetary Economics (1) 2017-07-30
  10. NEP-MST: Market Microstructure (1) 2011-11-28
  11. NEP-ORE: Operations Research (1) 2011-11-28

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