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 0 0 0 44 0 1 4 103
A Note on the Vasicek’s Model with the Logistic Distribution 0 0 0 38 1 1 4 104
Analysing Cross-Currency Basis Spreads 0 1 1 90 0 3 8 283
Determinants of NMD Pass-Through Rates in Eurozone Countries 2 4 38 54 6 21 109 122
Estimating Correlated Jumps and Stochastic Volatilities 0 0 0 72 0 0 0 129
Estimating Default and Recovery Rate Correlations 0 0 0 55 0 0 0 95
Estimating LGD Correlation 0 0 1 117 0 0 2 304
IFRS 9 AND IT´S BEHAVIOUR IN THE CYCLE: THE EVIDENCE ON THE EU COUNTRIES 0 0 3 29 1 1 8 44
Interest Rate Risk of Savings Accounts 0 0 3 10 0 0 11 20
Interest Rate Swap Credit Valuation Adjustment 1 1 5 86 3 10 25 226
Loss, Default, and Loss Given Default Modeling 1 1 1 221 1 1 1 453
Machine Learning Applications to Valuation of Options on Non-liquid Markets 1 2 2 2 2 6 6 6
Recovery process optimization using survival regression 0 0 1 11 0 0 1 22
Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations 0 0 1 23 0 1 15 65
Survival Analysis in LGD Modeling 1 4 4 397 2 5 15 987
Valuation of Convexity Related Derivatives 0 0 0 147 0 0 0 392
Total Working Papers 6 13 60 1,396 16 50 209 3,355

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Approach to Measurement of Backtest Overfitting 0 0 0 8 0 0 5 38
A Comparison of EVT and Standard VaR Estimations 0 0 1 56 1 3 6 164
A Two Factor Model for PD and LGD Correlation 0 0 2 126 2 2 7 319
Definition of Default and Quality of Scoring Functions 0 0 0 36 1 2 3 102
Estimating Correlated Jumps and Stochastic Volatilities 0 0 0 28 0 0 0 93
Estimating Default and Recovery Rate Correlations 0 0 0 13 0 0 1 100
Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods 0 1 4 33 0 1 10 111
Exposure at Default Modeling with Default Intensities 0 0 0 44 0 0 2 124
Impact of Implementation of IFRS 9 on Czech Banking Sector 0 0 4 5 0 1 6 17
Interest Rate Sensitivity of Savings Accounts 0 1 2 2 1 5 9 9
Konstrukce výnosových křivek v pokrizovém období 0 0 1 48 0 0 2 125
On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model 0 0 0 73 0 0 1 263
Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison 0 0 1 25 0 0 4 115
Recovery process optimization using survival regression 0 0 2 2 1 3 10 10
Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation 1 1 2 5 1 1 5 27
Survival Analysis in LGD Modeling 0 1 2 34 1 2 4 109
Unexpected Recovery Risk and LGD Discount Rate Determination 0 0 0 64 0 1 6 218
Use of Adapted Particle Filters in SVJD Models 0 0 0 15 0 0 0 66
Valuation of Convexity Related Interest Rate Derivatives 0 0 0 40 0 0 0 197
Valuation of volatility sensitive interest rate derivatives in an emerging market 0 0 0 32 1 1 1 135
Total Journal Articles 1 4 21 689 9 22 82 2,342

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 3 6 31
Derivatives 0 0 0 1 0 1 3 24
Total Books 0 0 0 1 0 4 9 55

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Does IFRS 9 Increase Volatility of Loan Loss Provisions? 0 0 0 0 0 1 10 10
Exotic Options, Volatility Smile, and Alternative Stochastic Models 0 0 0 0 0 0 0 3
Forwards and Futures 0 0 0 0 1 1 5 8
IFRS 9 – Implications on Procyclicality 0 0 1 1 2 6 11 11
Interest Rate Derivatives 0 0 0 0 0 1 3 8
Interest Rate Models 0 0 0 0 0 0 4 7
Introduction 0 0 0 0 0 0 0 1
Market Risk Measurement and Management 0 0 0 0 0 1 3 8
Option Markets, Valuation, and Hedging 0 0 0 0 0 0 2 7
Stochastic Interest Rates and the Standard Market Model 0 0 0 0 0 0 4 13
Total Chapters 0 0 1 1 3 10 42 76

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Statistics updated 2023-06-05