5
H index
1
i10 index
68
Citations
Jiří Witzany : Citation Profile
Vysoká Škola Ekonomická v Praze | RESEARCH PRODUCTION: 20 Articles 19 Papers 2 Books 10 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2008 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jiří Witzany. | Is cited by:
| Cites to:
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Main data
Where Jiří Witzany has published?
| Journals with more than one article published | # docs |
|---|---|
| European Financial and Accounting Journal | 4 |
| Prague Economic Papers | 3 |
| Czech Journal of Economics and Finance (Finance a uver) | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies | 11 |
| FFA Working Papers / Prague University of Economics and Business | 7 |
Recent works citing Jiří Witzany (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | The TruEnd-procedure: Treating trailing zero-valued balances in credit data. (2024). Bester, Roelinde ; Verster, Tanja ; Botha, Arno. In: Papers. RePEc:arx:papers:2404.17008. Full description at Econpapers || Download paper |
| 2023 | Maximum likelihood estimation of the HullâWhite model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247. Full description at Econpapers || Download paper |
| 2023 | A mixture model for credit card exposure at default using the GAMLSS framework. (2023). Choudhry, Taufiq ; Okhrati, Ramin ; Mues, Christophe ; Wattanawongwan, Suttisak ; So, Mee Chi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:503-518. Full description at Econpapers || Download paper |
| 2023 | The crowding-out effect of zombie companies on fixed asset investment: Evidence from China. (2023). Zhao, Jingmei ; Ren, Meixu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001058. Full description at Econpapers || Download paper |
| 2024 | Diversification, capital buffer, ownership and credit risk management in microfinance: An investigation on Indonesian rural banks. (2024). Yustika, Ahmad Erani ; Trinugroho, Irwan ; Ariefianto, Moch Doddy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000618. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases. (2023). Matuszyk, Anna ; Kopciuszewski, Pawe ; Ptak-Chmielewska, Aneta. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:42-:d:1064290. Full description at Econpapers || Download paper |
Jiří Witzany is editor of
| Journal | |
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| FFA Working Papers |
Works by Jiří Witzany:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Definition of Default and Quality of Scoring Functions In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 3 |
| 2011 | A Two Factor Model for PD and LGD Correlation In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 8 |
| 2012 | A Comparison of EVT and Standard VaR Estimations In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 2 |
| 2014 | Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 0 |
| 2014 | Estimating Default and Recovery Rate Correlations In: Bulletin of the Czech Econometric Society. [Full Text][Citation analysis] | article | 0 |
| 2010 | On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 5 |
| 2016 | Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 2 |
| 2019 | Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation In: Czech Journal of Economics and Finance (Finance a uver). [Full Text][Citation analysis] | article | 0 |
| 2008 | Valuation of Convexity Related Derivatives In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Loss, Default, and Loss Given Default Modeling In: Working Papers IES. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Estimating LGD Correlation In: Working Papers IES. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Survival Analysis in LGD Modeling In: Working Papers IES. [Full Text][Citation analysis] | paper | 9 |
| 2012 | Survival Analysis in LGD Modeling.(2012) In: European Financial and Accounting Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2011 | Estimating Correlated Jumps and Stochastic Volatilities In: Working Papers IES. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Estimating Correlated Jumps and Stochastic Volatilities.(2013) In: Prague Economic Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2013 | A Note on the Vasicekââ¬â¢s Model with the Logistic Distribution In: Working Papers IES. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Estimating Default and Recovery Rate Correlations In: Working Papers IES. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Interest Rate Swap Credit Valuation Adjustment In: Working Papers IES. [Full Text][Citation analysis] | paper | 1 |
| 2017 | A Bayesian Approach to Backtest Overfitting In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Interest Rate Risk of Savings Accounts In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Historical Calibration of SVJD Models with Deep Learning In: Working Papers IES. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A Bayesian Approach to Measurement of Backtest Overfitting In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2010 | Valuation of volatility sensitive interest rate derivatives in an emerging market In: International Journal of Financial Markets and Derivatives. [Full Text][Citation analysis] | article | 1 |
| 2009 | Unexpected Recovery Risk and LGD Discount Rate Determination In: European Financial and Accounting Journal. [Full Text][Citation analysis] | article | 0 |
| 2011 | Exposure at Default Modeling with Default Intensities In: European Financial and Accounting Journal. [Full Text][Citation analysis] | article | 3 |
| 2018 | Use of Adapted Particle Filters in SVJD Models In: European Financial and Accounting Journal. [Full Text][Citation analysis] | article | 0 |
| 2009 | Valuation of Convexity Related Interest Rate Derivatives In: Prague Economic Papers. [Full Text][Citation analysis] | article | 2 |
| 2021 | Impact of Implementation of IFRS 9 on Czech Banking Sector In: Prague Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 2023 | Determinants of Non-maturing Deposit Pass-through Rates in Eurozone Countries In: Politická ekonomie. [Full Text][Citation analysis] | article | 0 |
| 2020 | Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Recovery process optimization using survival regression In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Recovery process optimization using survival regression.(2022) In: Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | IFRS 9 AND IT´S BEHAVIOUR IN THE CYCLE: THE EVIDENCE ON THE EU COUNTRIES In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Determinants of NMD Pass-Through Rates in Eurozone Countries In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Machine Learning Applications to Valuation of Options on Non-liquid Markets In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Copula-Based Trading of Cointegrated Cryptocurrency Pairs In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A Comparison of Neural Networks and Bayesian MCMC for the Heston Model Estimation (Forget Statistics - Machine Learning is Sufficient!) In: FFA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Interest Rate Sensitivity of Savings Accounts In: Journal of Economics / Ekonomicky casopis. [Full Text][Citation analysis] | article | 0 |
| 2022 | Does IFRS 9 Increase Volatility of Loan Loss Provisions? In: Springer Proceedings in Business and Economics. [Citation analysis] | chapter | 0 |
| 2022 | IFRS 9 â Implications on Procyclicality In: Springer Proceedings in Business and Economics. [Citation analysis] | chapter | 0 |
| 2017 | Credit Risk Management In: Springer Books. [Citation analysis] | book | 9 |
| 2020 | Derivatives In: Springer Texts in Business and Economics. [Citation analysis] | book | 2 |
| 2020 | Introduction In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Forwards and Futures In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Interest Rate Derivatives In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Option Markets, Valuation, and Hedging In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Market Risk Measurement and Management In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Stochastic Interest Rates and the Standard Market Model In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Interest Rate Models In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2020 | Exotic Options, Volatility Smile, and Alternative Stochastic Models In: Springer Texts in Business and Economics. [Citation analysis] | chapter | 0 |
| 2017 | Analysing Cross-Currency Basis Spreads In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team