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Jiri Witzany
(Jiří Witzany)

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Personal Details

First Name:Jiri
Middle Name:
Last Name:Witzany
Suffix:
RePEc Short-ID:pwi154
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Location: Praha, Czech Republic
Homepage: http://nb.vse.cz/kbp/
Email:
Phone: 224 095 102
Fax: (02) 24 22 06 57
Postal: Náměstí Winstona Churchilla 4, Praha 3, 137 01
Handle: RePEc:edi:dbvsecz (more details at EDIRC)
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  1. Jakub Èerný & Jiøí 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  1. Jiri Witzany, 2014. "Estimating Default and Recovery Rate Correlations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(33).
  2. 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).
  3. Jaroslav Baran & Jiří Witzany, 2014. "Yield Curve Construction after Crisis," Politická ekonomie, University of Economics, Prague, vol. 2014(1), pages 67-99.
  4. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, University of Economics, Prague, vol. 2013(2), pages 251-283.
  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).
  6. 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.
  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).
  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).
  9. 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.
  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.
  11. 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.
  12. 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.
  13. Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, University of Economics, Prague, vol. 2009(4), pages 309-326.
8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2010-02-27 2013-06-16 2013-06-16. Author is listed
  2. NEP-CBA: Central Banking (1) 2014-12-19
  3. NEP-CFN: Corporate Finance (1) 2013-06-16
  4. NEP-ECM: Econometrics (3) 2009-09-26 2010-02-27 2011-11-28. Author is listed
  5. NEP-ETS: Econometric Time Series (1) 2011-11-28
  6. NEP-FMK: Financial Markets (1) 2008-03-15
  7. NEP-MAC: Macroeconomics (1) 2008-03-15
  8. NEP-MST: Market Microstructure (1) 2011-11-28
  9. NEP-ORE: Operations Research (1) 2011-11-28
  10. 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

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