Browsing All of EconStor by Author Witzany, Jiří
Showing results 1 to 15 of 15
Year of Publication | Title | Author(s) |
2008 | Valuation of convexity related derivatives | Witzany, Jiří |
2009 | Loss, default and loss given default modeling | Witzany, Jiří |
2009 | Estimating LGD correlation | Witzany, Jiří |
2009 | Unexpected Recovery Risk and LGD Discount Rate Determination | Witzany, Jiří |
2010 | Survival analysis in LGD modeling | Witzany, Jiří; Rychnovský, Michael; Charamza, Pavel |
2011 | Exposure at Default Modeling with Default Intensities | Witzany, Jiří |
2011 | Estimating correlated jumps and stochastic volatilities | Witzany, Jiří |
2012 | Survival Analysis in LGD Modeling | Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel |
2013 | A note on the Vasicek's model with the logistic distribution | Witzany, Jiří |
2013 | Estimating default and recovery rate correlations | Witzany, Jiří |
2014 | Interest rate swap credit valuation adjustment | Černý, Jakub; Witzany, Jiří |
2017 | A Bayesian Approach to Backtest Overfitting | Witzany, Jiří |
2018 | Use of adapted particle filters in SVJD models | Fičura, Milan; Witzany, Jiří |
2021 | A bayesian approach to measurement of backtest overfitting | Witzany, Jiří |
2023 | Historical calibration of SVJD models with deep learning | Fičura, Milan; Witzany, Jiří |