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Displaying results 1 to 15 of 15.

  1. Estimating LGD correlation
    Author: Witzany, Jiří
    Published: 2009

    The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 167 (2009,21)
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    The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD discount rate and other parameters. Given historical LGD observations we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on a real large data set of unsecured retail account level LGDs and the corresponding monthly series of the average LGDs. The correlation estimate comes relatively close to the PD regulatory correlation. It is also tested for stability using the bootstrapping method and used in an efficient formula to estimate ex ante one-year stressed LGD, i.e. one-year LGD quantiles on any reasonable probability level. -- credit risk ; recovery rate ; loss given default ; correlation ; regulatory capital

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83466
    Series: IES working paper ; 21/2009
    Subjects: Kreditrisiko; Basler Akkord; Korrelation
    Scope: Online-Ressource (15 S.), graph. Darst.
  2. Definition of default and quality of scoring functions
    Author: Witzany, Jiří
    Published: 2009

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1273 (207)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Discussion paper series / CERGE-EI ; 207
    Subjects: Insolvenz; Insolvenz; Kreditwürdigkeit; Definition; Basler Akkord; Schätzung; Tschechien
    Scope: 19 S., graph. Darst.
  3. Survival analysis in LGD modeling
    Author: Witzany, Jiří; Rychnovský, Michael; Charamza, Pavel
    Published: 2010

    The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows... more

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    DS 167 (2010,2)
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    The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate goodness of fit measures. The empirical testing shows that the Cox proportional model applied to LGD modeling performs better than the linear and logistic regressions. In addition a significant improvement is achieved with the modified "pseudo" Cox LGD model. -- credit risk ; recovery rate ; loss given default ; correlation ; regulatory capital

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83464
    Series: IES working paper ; 2/2010
    Subjects: Kreditrisiko; Basler Akkord; Statistische Methode
    Scope: Online-Ressource (24 S.), graph. Darst.
  4. Loss, default and loss given default modeling
    Author: Witzany, Jiří
    Published: 2009

    The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of ... more

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    DS 167 (2009,9)
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    The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a surprising phenomenon when the resulting regulatory capital depends on the definition of default that plays the role of a frontier between the unexpected default rate estimate and the LGD parameter whose unexpected development is not modeled at all or only partially. We study the phenomenon in the context of single-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In this theoretical framework we propose and analyze a relatively simple remedy of the problem requiring that the LGD parameter be estimated as a quantile on the required probability level. -- credit risk ; correlation ; recovery rate ; regulatory capital

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83443
    Series: IES working paper ; 9/2009
    Subjects: Kreditrisiko; Insolvenz; Verlust; Basler Akkord; Theorie
    Scope: Online-Ressource (23 S.), graph. Darst.
  5. Determinants of NMD Pass-Through Rates in Eurozone Countries
    Author: Fičura, Milan; Witzany, Jiří
    Published: 2022
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2022, 4
    Subjects: Non-Maturing Deposits (NMD); pass-through rate; IRRBB
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  6. Interest rate risk of savings accounts
    Author: Witzany, Jiří; Diviš, Martin
    Published: [2021]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modeling and estimation. The proposed models are tested on a Czech banking sector dataset providing mixed results regarding the cointegration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the cointegration tests between the saving accounts rate and the market rate series fail.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/247388
    Series: IES working paper ; 2021, 21
    Subjects: Interest rate risk; savings accounts; non-maturity deposits; cointegration; pass through rate
    Scope: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  7. IFRS 9 and its behaviour in the cycle: the evidence on EU countries
    Author: Witzany, Jiří; Pastiranová, Oľga
    Published: 2021
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2021, 3
    Subjects: IFRS 9; loan loss provisions; procyclicality
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  8. Stressing of migration matrices for IFRS 9 and ICAAP Calculations
    Author: Witzany, Jiří
    Published: 2020
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2020, 1
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  9. Historical calibration of SVJD models with deep learning
    Author: Fičura, Milan; Witzany, Jiří
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump-Diffusion (SVJD) models to historical asset return time series. 1-Dimensional Convolutional Neural Networks (1D-CNN) are used for that purpose.... more

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    We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump-Diffusion (SVJD) models to historical asset return time series. 1-Dimensional Convolutional Neural Networks (1D-CNN) are used for that purpose. The accuracy of the deep learning approach is compared with machine learning methods based on shallow neural networks and hand-crafted features, and with commonly used statistical approaches such as MCMC and approximate MLE. The deep learning approach is found to be accurate and robust, outperforming the other approaches in simulation tests. The main advantage of the deep learning approach is that it is fully generic and can be applied to any SVJD model from which simulations can be drawn. An additional advantage is the speed of the deep learning approach in situations when the parameter estimation needs to be repeated on new data. The trained neural network can be in these situations used to estimate the SVJD model parameters almost instantaneously.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/286365
    Series: IES working paper ; 2023, 36
    Subjects: Stochastic volatility; price jumps; SVJD; neural networks; deep learning; CNN
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  10. Recovery process optimization using survival regression
    Author: Witzany, Jiří; Kozina, Anastasiia
    Published: 2020
    Publisher:  Faculty of Finance and Accounting, University of Economics, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: FFA Working Papers ; 2020, 4
    Subjects: credit risk modelling; survival analysis; scoring; receivables; debt recovery; collection; retail banking; credit risk
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  11. Estimating correlated jumps and stochastic volatilities
    Author: Witzany, Jiří
    Published: 2011
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic... more

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    DS 167 (2011,35)
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    We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model's parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on the two most important Czech domestic financial market time series of the FX (CZK/EUR) and stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model. -- jump-diffusion ; stochastic volatility ; MCMC ; Value at Risk ; Monte Carlo

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83327
    Series: IES working paper ; 35/2011
    Subjects: Kapitalmarkttheorie; Stochastischer Prozess; Markov-Kette; Monte-Carlo-Simulation; Risikomaß; Kapitalmarktrendite; Tschechien
    Scope: Online-Ressource (PDF-Datei: 31 S., 577,11 KB), graph. Darst.
  12. A note on the Vasicek's model with the logistic distribution
    Author: Witzany, Jiří
    Published: 2013
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD... more

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    DS 167 (2013,1)
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    The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on US commercial bank's loan historical delinquency rates re-estimates the default correlations and unexpected losses for the normal and logistic distribution models. The results indicate that the capital requirements could be up to 100% higher if the normal Vasicek's model was replaced by the logistic one. -- credit risk ; Basel II regulation ; default rates

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83427
    Series: IES working paper ; 1/2013
    Subjects: Basler Akkord; Kreditrisiko; Statistische Verteilung; Schätzung; USA
    Scope: Online-Ressource, graph. Darst.
  13. Interest rate swap credit valuation adjustment
    Author: Černý, Jakub; Witzany, Jiří
    Published: 2014
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 167 (2014,16)
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    The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation when the exposure to a counterparty is adversely correlated with the credit quality of that counterparty, i.e. when it is needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation with the counterparty credit risk including the wrong-way risk is derived and analyzed in the paper. The formula is based on the fact that the CVA of an IRS can be expressed using swaption prices. The link between the interest rates and the default time is represented by a Gaussian copula with constant correlation coefficient. Finally, the results of the semi-analytical approach are compared with the results of a complex simulation study.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102579
    Series: IES working paper ; 16/2014
    Scope: Online-Ressource (16 S.), graph. Darst.
  14. Estimating default and recovery rate correlations
    Author: Witzany, Jiří
    Published: 2013
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague, Prague

    The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected... more

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    The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically implement estimation of the model based on aggregate and exposure level Moody's default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We empirically compare the unexpected loss estimates based on the reduced two-factor model with Monte Carlo simulation results, and with the current regulatory formula outputs. The results show a very good performance of the proposed analytical formula which could feasibly replace the current regulatory formula. -- credit risk ; Basel II regulation ; default rates ; recovery rates ; correlation

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/83318
    Series: IES working paper ; 03/2013
    Subjects: Kreditrisiko; Basler Akkord; Wirtschaftsmodell; Monte-Carlo-Simulation; Bayes-Statistik; USA
    Scope: Online-Ressource (23 S.), graph. Darst.
  15. A Bayesian approach to backtest overfitting
    Author: Witzany, Jiří
    Published: August 2017
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be... more

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    Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on results of too many models tested on the holdout sample. There is an ongoing discussion how to estimate the probability of back-test overfitting and adjust the expected performance indicators like Sharpe ratio in order to reflect properly the effect of multiple testing. We propose a consistent Bayesian approach that consistently yields the desired robust estimates based on an MCMC simulation. The approach is tested on a class of technical trading strategies where a seemingly profitable strategy can be selected in the naïve approach.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/174211
    Series: IES working paper ; 2017, 18
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen