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Estimation of Long Memory in Volatility Using Wavelets

Baruník, Jozef; Kraicová, Lucie - Institut ekonomických studií, Univerzita Karlova v Praze - 2014

In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility, and study its properties. Based on an...

Persistent link: https://www.econbiz.de/10011093858

Estimating Default and Recovery Rate Correlations

Witzany, Jiri - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected …’s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …

Persistent link: https://www.econbiz.de/10010827794

Survival Analysis in LGD Modeling

Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - Institut ekonomických studií, Univerzita Karlova v Praze - 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 exploiting partial recovery data. The model is...

Persistent link: https://www.econbiz.de/10008522366

Estimating LGD Correlation

Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 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 … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

Persistent link: https://www.econbiz.de/10005103162

Loss, Default, and Loss Given Default Modeling

Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 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 the loss given default parameter. This simplification leads to a...

Persistent link: https://www.econbiz.de/10005698703