Access Statistics for Jiří Witzany

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Bayesian Approach to Backtest Overfitting	1	4	7	41	3	23	34	71
A Note on the Vasicek’s Model with the Logistic Distribution	1	1	2	35	2	2	5	83
Analysing Cross-Currency Basis Spreads	3	4	24	66	6	20	82	175
Estimating Correlated Jumps and Stochastic Volatilities	0	0	2	71	4	4	11	125
Estimating Default and Recovery Rate Correlations	0	0	5	53	0	1	11	87
Estimating LGD Correlation	0	1	2	115	0	1	4	293
Interest Rate Swap Credit Valuation Adjustment	1	3	6	63	6	13	25	150
Loss, Default, and Loss Given Default Modeling	0	0	3	218	2	3	13	448
Recovery process optimization using survival regression	1	8	8	8	1	10	10	10
Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations	0	1	5	5	0	2	7	7
Survival Analysis in LGD Modeling	1	3	10	383	6	12	52	925
Valuation of Convexity Related Derivatives	0	0	0	146	0	0	1	389
Total Working Papers	8	25	74	1,204	30	91	255	2,763

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Comparison of EVT and Standard VaR Estimations	0	0	4	51	0	2	17	145
A Two Factor Model for PD and LGD Correlation	0	1	12	120	0	5	30	291
Definition of Default and Quality of Scoring Functions	0	0	1	36	1	1	4	96
Estimating Correlated Jumps and Stochastic Volatilities	0	1	2	22	1	2	6	76
Estimating Default and Recovery Rate Correlations	0	0	2	11	1	1	16	87
Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods	0	0	1	25	1	1	9	88
Exposure at Default Modeling with Default Intensities	1	1	5	43	1	2	18	117
Konstrukce výnosových křivek v pokrizovém období	0	0	3	42	0	1	10	111
On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model	0	2	3	72	0	3	5	258
Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison	0	1	4	24	0	1	7	105
Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation	0	0	2	2	0	0	10	10
Survival Analysis in LGD Modeling	0	0	2	28	0	1	13	91
Unexpected Recovery Risk and LGD Discount Rate Determination	0	0	3	61	0	0	18	189
Use of Adapted Particle Filters in SVJD Models	0	0	4	10	2	5	23	52
Valuation of Convexity Related Interest Rate Derivatives	0	1	2	37	1	2	16	184
Valuation of volatility sensitive interest rate derivatives in an emerging market	0	0	0	32	0	0	2	134
Total Journal Articles	1	7	50	616	8	27	204	2,034

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Statistics updated 2020-11-03