Access Statistics for Jiří Witzany

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
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
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


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Credit Risk Management 0 0 0 0 0 2 8 9
Total Books 0 0 0 0 0 2 8 9


Statistics updated 2020-11-03