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Jiří Witzany
(Jiri Witzany)

Personal Details

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

Affiliation

Fakulta Financí a Účetnictví
Vysoká Škola Ekonomická v Praze

Praha, Czech Republic
http://f1.vse.cz/
RePEc:edi:ffvsecz (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books Editorship

Working papers

  1. Jiri Witzany & Martin Divis, 2021. "Interest Rate Risk of Savings Accounts," Working Papers IES 2021/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2021.
  2. Oľga Pastiranová & Jiří Witzany, 2021. "Ifrs 9 And It´S Behaviour In The Cycle: The Evidence On The Eu Countries," FFA Working Papers 3.003, Prague University of Economics and Business, revised 02 May 2021.
  3. Milan Fičura & Jiří Witzany, 2021. "Determinants of NMD Pass-Through Rates in Eurozone Countries," FFA Working Papers 4.004, Prague University of Economics and Business, revised 11 Mar 2022.
  4. Jiří Witzany & Anastasiia Kozina, 2020. "Recovery process optimization using survival regression," FFA Working Papers 2.004, Prague University of Economics and Business, revised 16 Jul 2020.
  5. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.
  6. Jiří Witzany, 2017. "Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations," FFA Working Papers 2.001, Prague University of Economics and Business, revised 21 Feb 2020.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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. Jiří Witzany & Anastasiia Kozina, 2022. "Recovery process optimization using survival regression," Operational Research, Springer, vol. 22(5), pages 5269-5296, November.
  2. Oľga Pastiranová & Jiří Witzany, 2021. "Impact of Implementation of IFRS 9 on Czech Banking Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(4), pages 449-469.
  3. Jiří Witzany, 2021. "A Bayesian Approach to Measurement of Backtest Overfitting," Risks, MDPI, vol. 9(1), pages 1-22, January.
  4. Jiri Witzany & Milan Ficura, 2019. "Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(5), pages 463-488, October.
  5. Milan Fičura & Jiří Witzany, 2018. "Use of Adapted Particle Filters in SVJD Models," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(3), pages 5-20.
  6. 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.
  7. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období [Yield Curve Construction after Crisis]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 67-99.
  8. 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).
  9. Jiri Witzany, 2014. "Estimating Default and Recovery Rate Correlations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(33).
  10. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(2), pages 251-283.
  11. 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).
  12. Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2012. "Survival Analysis in LGD Modeling," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2012(1), pages 6-27.
  13. Jiří Witzany, 2011. "Exposure at Default Modeling with Default Intensities," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2011(4), pages 20-48.
  14. Jiri Witzany, 2011. "Definition of Default and Quality of Scoring Functions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 18(28).
  15. 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).
  16. 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.
  17. 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.
  18. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(4), pages 309-326.
  19. Jiří Witzany, 2009. "Unexpected Recovery Risk and LGD Discount Rate Determination," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2009(1), pages 61-84.

Chapters

  1. Oľga Pastiranová & Jiří Witzany, 2022. "Does IFRS 9 Increase Volatility of Loan Loss Provisions?," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Regulation of Finance and Accounting, chapter 0, pages 243-249, Springer.
  2. Oľga Pastiranová & Jiří Witzany, 2022. "IFRS 9 – Implications on Procyclicality," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Regulation of Finance and Accounting, chapter 0, pages 251-260, Springer.
  3. Jiří Witzany, 2020. "Option Markets, Valuation, and Hedging," Springer Texts in Business and Economics, in: Derivatives, chapter 4, pages 77-140, Springer.
  4. Jiří Witzany, 2020. "Stochastic Interest Rates and the Standard Market Model," Springer Texts in Business and Economics, in: Derivatives, chapter 6, pages 223-259, Springer.
  5. Jiří Witzany, 2020. "Forwards and Futures," Springer Texts in Business and Economics, in: Derivatives, chapter 2, pages 19-42, Springer.
  6. Jiří Witzany, 2020. "Market Risk Measurement and Management," Springer Texts in Business and Economics, in: Derivatives, chapter 5, pages 141-222, Springer.
  7. Jiří Witzany, 2020. "Interest Rate Derivatives," Springer Texts in Business and Economics, in: Derivatives, chapter 3, pages 43-75, Springer.
  8. Jiří Witzany, 2020. "Exotic Options, Volatility Smile, and Alternative Stochastic Models," Springer Texts in Business and Economics, in: Derivatives, chapter 8, pages 289-345, Springer.
  9. Jiří Witzany, 2020. "Introduction," Springer Texts in Business and Economics, in: Derivatives, chapter 1, pages 1-18, Springer.
  10. Jiří Witzany, 2020. "Interest Rate Models," Springer Texts in Business and Economics, in: Derivatives, chapter 7, pages 261-287, Springer.

Books

  1. Jiří Witzany, 2020. "Derivatives," Springer Texts in Business and Economics, Springer, number 978-3-030-51751-9, December.
  2. Jiří Witzany, 2017. "Credit Risk Management," Springer Books, Springer, number 978-3-319-49800-3, September.

Editorship

  1. FFA Working Papers, Prague University of Economics and Business.

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 & Martin Divis, 2021. "Interest Rate Risk of Savings Accounts," Working Papers IES 2021/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2021.

    Cited by:

    1. Milan Fičura & Jiří Witzany, 2021. "Determinants of NMD Pass-Through Rates in Eurozone Countries," FFA Working Papers 4.004, Prague University of Economics and Business, revised 11 Mar 2022.

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

    Cited by:

    1. Ibhagui, Oyakhilome, 2019. "Eurozone Real Output and Covered Interest Parity Deviations: Can Stronger Real Output Lessen the Deviations?," MPRA Paper 92305, University Library of Munich, Germany, revised 20 Feb 2019.
    2. Ibhagui, Oyakhilome, 2021. "Stock market and deviations from covered interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    3. Ibhagui, Oyakhilome, 2020. "Inflation Differential as a Driver of Cross-currency Basis Swap Spreads," MPRA Paper 100948, University Library of Munich, Germany.
    4. Ibhagui, Oyakhilome, 2018. "The Monetary Model of CIP Deviations," MPRA Paper 89641, University Library of Munich, Germany.
    5. Heidorn, Thomas & Mamadalizoda, Nekruz, 2019. "Investigating the cross currency basis in EURUSD and EURGBP," Frankfurt School - Working Paper Series 227, Frankfurt School of Finance and Management.
    6. Ibhagui, Oyakhilome, 2018. "Interrelations among cross-currency basis swap spreads: Pre-and post-crisis analysis," MPRA Paper 89024, University Library of Munich, Germany.
    7. Angrick, Stefan & Nemoto, Naoko, 2018. "Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations," ADBI Working Papers 859, Asian Development Bank Institute.
    8. Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.

  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.

    Cited by:

    1. Ayoub Gargouri & Van Son Lai & Issouf Soumaré, 2016. "Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount," Working Papers 2016-003, Department of Research, Ipag Business School.

  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.

    Cited by:

    1. Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
    2. Hana Džmuráňová & Petr Teplý, 2016. "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(5), pages 617-633.

  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.

    Cited by:

    1. Franco Varetto, 2017. "La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis," IRCrES Working Paper 201714, Research Institute on Sustainable Economic Growth - Moncalieri (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
    2. Andrey Itkin & Fazlollah Soleymani, 2019. "Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery," Papers 1912.08713, arXiv.org.

  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.

    Cited by:

    1. Karel Janda & Tran Van Quang & Pavel Zetek, 2015. "Faktory ovlivňující zapojení žen v mikrofinancích [The Factors Influencing the Participation of Women in Microfinance]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(3), pages 363-381.
    2. Bohumil Stádník & Algita Miečinskienė, 2015. "Complex Model of Market Price Development and its Simulation," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 786-807, August.
    3. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
    4. Milan Fičura & Jiří Witzany, 2018. "Use of Adapted Particle Filters in SVJD Models," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(3), pages 5-20.
    5. 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.

  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.

    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. Cheng, Dan & Cirillo, Pasquale, 2018. "A reinforced urn process modeling of recovery rates and recovery times," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 1-17.
    3. Jiří Witzany & Anastasiia Kozina, 2020. "Recovery process optimization using survival regression," FFA Working Papers 2.004, Prague University of Economics and Business, revised 16 Jul 2020.
    4. Rumyantseva, Ekaterina & Furmanov, Kirill, 2017. "Realisation of mortgage property: Survival analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 48, pages 22-43.
    5. Morne Joubert & Tanja Verster & Helgard Raubenheimer & Willem D. Schutte, 2021. "Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD," Risks, MDPI, vol. 9(6), pages 1-17, June.
    6. 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.

  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.

    Cited by:

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

  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.

    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. 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.

    Cited by:

    1. Makoto Nakakita & Teruo Nakatsuma, 2021. "Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors," JRFM, MDPI, vol. 14(4), pages 1-29, March.
    2. Milan Fičura & Jiří Witzany, 2018. "Use of Adapted Particle Filters in SVJD Models," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(3), pages 5-20.
    3. Janda, Karel & Kourilek, Jakub, 2020. "Residual shape risk on natural gas market with mixed jump diffusion price dynamics," Energy Economics, Elsevier, vol. 85(C).

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

    Cited by:

    1. Dušan Staniek, 2018. "The Expectations Hypothesis in the Theory and Practice of Current Interest Rate Instruments [Hypotéza očekávání v teorii a praxi současných úrokových instrumentů]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(2), pages 61-79.
    2. Jaroslav Baran & Jiří Witzany, 2017. "Analysing Cross-Currency Basis Spreads," Working Papers 25, European Stability Mechanism.
    3. Karel Janda & Pavel Zetek, 2015. "Mikrofinanční revoluce: kontroverze a výzvy [Microfinance Revolution: Controversies and Challenges]," Politická ekonomie, Prague University of Economics and Business, vol. 2015(1), pages 108-130.

  3. Jiri Witzany, 2014. "Estimating Default and Recovery Rate Correlations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(33).
    See citations under working paper version above.
  4. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(2), pages 251-283.
    See citations under working paper version above.
  5. 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.
    2. Janda, Karel & Kourilek, Jakub, 2020. "Residual shape risk on natural gas market with mixed jump diffusion price dynamics," Energy Economics, Elsevier, vol. 85(C).

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

    Cited by:

    1. Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2021. "Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy: the case of Zimbabwe," Risk Management, Palgrave Macmillan, vol. 23(1), pages 123-149, June.
    2. 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.

  8. 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.
    2. Janda, Karel & Moreira, David, 2016. "Predicting bankruptcy in European e-commerce sector," MPRA Paper 74460, University Library of Munich, Germany.
    3. Michal Rychnovský, 2018. "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(1), pages 34-46.

  9. 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. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
    2. 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.
    3. Dan Cheng & Pasquale Cirillo, 2019. "An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages," Risks, MDPI, vol. 7(3), pages 1-21, July.
    4. Rubén García-Céspedes & Manuel Moreno, 2020. "Random LGD adjustments in the Vasicek credit risk model," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1856-1875, December.
    5. 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.
    6. Adam Metzler & Alexandre Scott, 2020. "Importance Sampling in the Presence of PD-LGD Correlation," Risks, MDPI, vol. 8(1), pages 1-36, March.
    7. 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.

  10. 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, Prague University of Economics and Business, vol. 2011(1), pages 58-81.
    3. Petra Budská & Luboš Fleischmann, 2021. "Vývoj a porovnání konkurence a koncentrace v bankovním a pojistném sektoru v České republice v letech 2007-2019 [Development and Comparison of Competition and Concentration in the Banking and Insur," Politická ekonomie, Prague University of Economics and Business, vol. 2021(1), pages 3-25.
    4. Janda, Karel & Moreira, David, 2016. "Predicting bankruptcy in European e-commerce sector," MPRA Paper 74460, University Library of Munich, Germany.
    5. 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.

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

    Cited by:

    1. Martin Pohl, 2012. "Czech Swap Market in the Crisis Period," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(1), pages 101-122.
    2. Bohumil Stádník & Algita Miečinskienė, 2015. "Complex Model of Market Price Development and its Simulation," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 786-807, August.

  12. Jiří Witzany, 2009. "Unexpected Recovery Risk and LGD Discount Rate Determination," European Financial and Accounting Journal, Prague University of Economics and Business, 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.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Jiří Witzany, 2020. "Derivatives," Springer Texts in Business and Economics, Springer, number 978-3-030-51751-9, December.

    Cited by:

    1. Janda, Karel & Zetek, Pavel, 2013. "Macroeconomic factors influencing interest rates of microfinance institutions in Latin America," MPRA Paper 49973, University Library of Munich, Germany.
    2. Štěpán Chrz & Karel Janda & Ladislav Krištoufek, 2014. "Modelování provázanosti trhů potravin, biopaliv a fosilních paliv [Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 117-140.

  2. Jiří Witzany, 2017. "Credit Risk Management," Springer Books, Springer, number 978-3-319-49800-3, September.

    Cited by:

    1. Jaroslav Baran & Jiří Witzany, 2014. "Konstrukce výnosových křivek v pokrizovém období [Yield Curve Construction after Crisis]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(1), pages 67-99.
    2. Igor Paholok, 2015. "Credit Value Adjustment and Economic Motivation to Trade on PXE," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(3), pages 245-259.
    3. Dimitris Andriosopoulos & Michael Doumpos & Panos Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02880149, HAL.
    4. Jiří Witzany & Anastasiia Kozina, 2020. "Recovery process optimization using survival regression," FFA Working Papers 2.004, Prague University of Economics and Business, revised 16 Jul 2020.
    5. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
    6. David Mhlanga, 2021. "Financial Inclusion in Emerging Economies: The Application of Machine Learning and Artificial Intelligence in Credit Risk Assessment," IJFS, MDPI, vol. 9(3), pages 1-16, July.
    7. Michal Rychnovský, 2018. "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(1), pages 34-46.
    8. Yanlai Song & Stanford Shateyi & Jianying He & Xueqing Cui, 2022. "Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk," Mathematics, MDPI, vol. 10(20), pages 1-15, October.
    9. Oľga Pastiranová & Jiří Witzany, 2021. "Impact of Implementation of IFRS 9 on Czech Banking Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(4), pages 449-469.
    10. 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.

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 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 (8) 2009-02-22 2009-09-26 2011-11-28 2013-06-16 2013-06-16 2014-12-19 2020-08-24 2021-06-28. Author is listed
  2. NEP-BAN: Banking (4) 2010-02-27 2013-06-16 2013-06-16 2021-06-28
  3. NEP-ECM: Econometrics (4) 2009-09-26 2010-02-27 2011-11-28 2017-10-01
  4. NEP-MON: Monetary Economics (2) 2017-07-30 2022-03-28
  5. NEP-ACC: Accounting & Auditing (1) 2021-05-24
  6. NEP-CBA: Central Banking (1) 2014-12-19
  7. NEP-CFN: Corporate Finance (1) 2013-06-16
  8. NEP-EEC: European Economics (1) 2022-03-28
  9. NEP-ETS: Econometric Time Series (1) 2011-11-28
  10. NEP-EUR: Microeconomic European Issues (1) 2021-05-24
  11. NEP-FDG: Financial Development & Growth (1) 2021-05-24
  12. NEP-FMK: Financial Markets (1) 2008-03-15
  13. NEP-MST: Market Microstructure (1) 2011-11-28
  14. NEP-ORE: Operations Research (1) 2011-11-28

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