5
H index
3
i10 index
80
Citations
Jiří Witzany : Citation Profile
Vysoká Škola Ekonomická v Praze | RESEARCH PRODUCTION: 22 Articles 19 Papers 2 Books 10 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2008 - 2025). 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 |
| Czech Journal of Economics and Finance (Finance a uver) | 3 |
| Prague Economic Papers | 3 |
| Politická ekonomie | 2 |
| 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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | The TruEnd-procedure: Treating trailing zero-valued balances in credit data. (2025). Verster, Tanja ; Bester, Roelinde ; Botha, Arno. In: Papers. RePEc:arx:papers:2404.17008. Full description at Econpapers || Download paper |
| 2025 | A cost of capital approach to determining the LGD discount rate. (2025). Botha, Arno ; Larney, Janette ; Grobler, Gerrit Lodewicus ; Raubenheimer, Helgard. In: Papers. RePEc:arx:papers:2503.23992. Full description at Econpapers || Download paper |
| 2025 | Boosting credit risk models. (2025). Baesens, Bart ; Smedts, Kristien. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:4:s0890838923000884. Full description at Econpapers || Download paper |
| 2025 | Multi-view locally weighted regression for loss given default forecasting. (2025). Wang, Zhao ; Cheng, Hui ; Ni, Xiaoya ; Jiang, Cuiqing. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:290-306. Full description at Econpapers || Download paper |
| 2024 | Diversification, capital buffer, ownership and credit risk management in microfinance: An investigation on Indonesian rural banks. (2024). Ariefianto, Moch Doddy ; Trinugroho, Irwan ; Yustika, Ahmad Erani. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000618. Full description at Econpapers || Download paper |
| 2024 | Functional clustering of NPLs recovery curves. (2024). Rocci, Roberto ; Carleo, Alessandra. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002179. Full description at Econpapers || Download paper |
| 2024 | Impacts of the Expected Credit Loss Model on Pro-Cyclicality, Earnings Management, and Equity Management in the Portuguese Banking Sector. (2024). Resende, Miguel ; Carmo, Cecilia ; Carvalho, Carla. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:112-:d:1354259. Full description at Econpapers || Download paper |
| 2024 | An AgeâPeriodâCohort Framework for Profit and Profit Volatility Modeling. (2024). Breeden, Joseph L. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:10:p:1427-:d:1389720. Full description at Econpapers || Download paper |
| 2025 | Theoretical Impact of IFRS 9 on Banking Performance: A Literature Review and Conceptual Framework. (2025). Khaless, Zineb. In: Post-Print. RePEc:hal:journl:hal-05052796. Full description at Econpapers || Download paper |
| 2025 | Pairs trading in the German stock market: is there still life in the old dog?. (2025). Wilkens, Sascha. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-025-00467-8. Full description at Econpapers || Download paper |
| 2025 | The shaping channels of the currency swap prices on the PLN market. (2025). Mielus, Piotr. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:56:y:2025:i:5:p:593-612. Full description at Econpapers || Download paper |
| 2025 | Impacts of the implementation of the expected credit loss model on reserves in the Portuguese banking sector. (2025). Carmo, Ceclia ; Carvalho, Carla ; Resende, Miguel. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:26:y:2025:i:3:d:10.1057_s41261-025-00278-x. Full description at Econpapers || Download paper |
| 2024 | Impact Assessment Study of NPAs and Rate of Recovery: Are Private Sector Banks in India Better off?. (2024). Bajaj, Richa Verma ; Sanati, Gargi ; Lodha, Chetan. In: Global Business Review. RePEc:sae:globus:v:25:y:2024:i:3:p:724-749. Full description at Econpapers || Download paper |
| 2024 | Dynamics of Operational Efficiency in Credit Lending and Recovery of Stressed Assets: An Alternative Approach with Undesirable By-Products. (2024). Sanati, Gargi ; Bhandari, Anup Kumar. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:22:y:2024:i:2:d:10.1007_s40953-024-00389-8. Full description at Econpapers || Download paper |
Jiří Witzany is editor of
| Journal | |
|---|---|
| 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 | 11 |
| 2012 | Survival Analysis in LGD Modeling.(2012) In: European Financial and Accounting Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | 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 | 1 |
| 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 | 3 |
| 2014 | Konstrukce výnosových kÅivek v pokrizovém obdobà In: Politická ekonomie. [Full Text][Citation analysis] | article | 3 |
| 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 | 1 |
| 2025 | Copula-based trading of cointegrated cryptocurrency Pairs.(2025) In: Financial Innovation. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 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 | 10 |
| 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 | 11 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated May, 3 2026. Contact: CitEc Team