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Jiri Witzany
(Jiří Witzany)

This is information that was supplied by Jiri Witzany in registering through RePEc. If you are Jiri Witzany , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Jiri
Middle Name:
Last Name:Witzany
Suffix:
RePEc Short-ID:pwi154
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)
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  1. 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.
  2. 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.
  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.
  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. "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.
  7. 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.
  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. 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. 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. Jiri Witzany, 2014. "Estimating Default and Recovery Rate Correlations," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 21(33).
  4. 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.
  5. Jiří Witzany, 2013. "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, University of Economics, Prague, vol. 2013(2), pages 251-283.
  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. 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).
  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. 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.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 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-BAN: Banking (3) 2010-02-27 2013-06-16 2013-06-16. Author is listed
  3. NEP-ECM: Econometrics (3) 2009-09-26 2010-02-27 2011-11-28. Author is listed
  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-MST: Market Microstructure (1) 2011-11-28
  10. NEP-ORE: Operations Research (1) 2011-11-28

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