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Research

Quantitative Consulting has many interesting research publications. Some of them were completed for the company purposes and others were outcomes of the academic research of our employees. Some of the content is accessible only after registration of your email address, rest of the content is downloadable from this site.

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Papers and studiesSupervised research and external examinations

Papers and studies

A Bayesian Approach to Backtest Overfitting

Jiří Witzany: A Bayesian Approach to Backtest Overfitting. The 10th World Congress of the Bachelier Finance Society, Dublin, July 16-20, 2018.

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Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators

Milan Fičura: Estimation of SVJD Models with Bayesian Methods and Power-Variation Estimators. The 10th World Congress of the Bachelier Finance Society, Dublin, July 16-20, 2018.

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Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Milan Fičura: Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies. University of Economics, 2017

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Forecasting Foreign Exchange Rate Movementswith k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Milan Fičura: Forecasting Foreign Exchange Rate Movementswith k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks. University of Economics, 2017

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Analysing Cross-Currency Basis Spreads

Jaroslav Baran, Jiří Witzany: Analysing Cross-Currency Basis Spreads. European Stability Mechanism, Working Paper Series 25, 2017.

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A Bayesian Approach to Backtest Overfitting

Jiří Witzany: A Bayesian Approach to Backtest Overfitting. University of Economics, 2017

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Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric methods

Milan Fičura, Jiří Witzany: Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric methods. University of Economics, 2017

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A Copula Approach to CVA Modeling

Jakub Černý, Jiří Witzany: A Copula Approach to CVA Modeling. Charles University, University of Economics, 2015

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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods

Milan Fičura, Jiří Witzany: Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods. University of Economics, 2015

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Methods for periodic and irregular time series

Tomáš Hanzák: Methods for periodic and irregular time series. Doctoral Thesis, Charles University in Prague, Faculty of Mathematics and Physics, 2014.

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Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison

Samuel Prívara, Marek Kolman, Jiří Witzany: Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison. Czech Technical University, University of Economics, 2013

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Interest Rate Swap Credit Value Adjustment

Jakub Černý, Jiří Witzany: Interest Rate Swap Credit Value Adjustment. Charles University, University of Economics, 2013

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Estimating Default and Recovery Rate Correlations

Jiří Witzany: Estimating Default and Recovery Rate Correlations. University of Economics, 2013

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Methods for volatility forecasting using realized volatilities and option market prices (in Czech)

Milan Fičura: Metody předvídání volatility s využitím realizované volatility a tržních cen opcí (in Czech; Methods for volatility forecasting using realized volatilities and option market prices). University of Economics, 2012

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Holt-Winters method with general seasonality

Tomáš Hanzák: Holt-Winters method with general seasonality. Kybernetika, Vol. 48 (2012), No. 1, 1-15.

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Estimating Correlated Jumps and Stochastic Volatilities

Jiří Witzany: Estimating Correlated Jumps and Stochastic Volatilities. Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. Working Paper 35/2011.

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Stochastic interest rates modeling (in Czech)

Jakub Černý: Stochastické modelování úrokových sazeb (in Czech; Stochastic interest rates modeling). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2011.

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Exponential smoothing for time series with outliers

Tomáš Cipra, Tomáš Hanzák: Exponential smoothing for time series with outliers. Kybernetika, Vol. 47 (2011), No. 2, 165-178.

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A Comparison of EVT and Standard VaR Estimations

Jaroslav Baran, Jiří Witzany: A Comparison of EVT and Standard VaR Estimations. University of Economics, 2011

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A Two-Factor Model for PD and LGD Correlation

Jiří Witzany: A Two-Factor Model for PD and LGD Correlation. University of Economics, 2011

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Credit Risk Management and Modeling

Jiří Witzany: Credit Risk Management and Modeling. Oeconomica, Prague, 2010.

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Survival Analysis in LGD Modeling

Jiří Witzany, Michal Rychnovský, Pavel Charamza: Survival Analysis in LGD Modeling. IES Working Paper 2/2010. IES FSV. Charles University.

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Loss, Default, and Loss Given Default Modeling

Jiří Witzany: Loss, Default, and Loss Given Default Modeling. IES Working Paper 9/2009. IES FSV. Charles University.

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Estimating LGD Correlation

Jiří Witzany: Estimating LGD Correlation. University of Economics, 2009

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Exponential Smoothing for Irregular Time Series (in Czech)

Tomáš Hanzák: Exponenciální vyrovnávání pro nepravidené časové řady (in Czech; Exponential Smoothing for Irregular Time Series). Robust, 2008.

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Improved Holt Method for Irregular Time Series

Tomáš Hanzák: Improved Holt Method for Irregular Time Series. WDS’08 Proceedings of Contributed Papers, Part I, 62–67, 2008.

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Exponential smoothing for irregular time series

Tomáš Cipra, Tomáš Hanzák: Exponential smoothing for irregular time series. Kybernetika, Vol. 44 (2008), Number 3 , pp. 385–399.

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Basel II Capital Requirement Sensitivity to the Definition of Default

Jiří Witzany: Basel II Capital Requirement Sensitivity to the Definition of Default. Prague, Oeconomica, 2008

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Valuation of Convexity Related Derivatives

Jiří Witzany: Valuation of Convexity Related Derivatives. IES Working Paper 4/2008. IES FSV. Charles University.

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Statistical errors in survey sampling estimation methods (in Czech)

Martin Andìl, Rostislav Èerný, Pavel Charamza, Jan Neustadt: Přehled metod odhadu statistické chyby ve výběrových šetřeních (in Czech; Statistical errors in survey sampling estimation methods). Published in yearbook Statistika ČSÚ, 2005

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Seigniorage in Continuous Time (in Czech)

Petr Mach, Tomáš Hanzák: Ražebné ve spojitém case (in Czech; Seigniorage in Continuous Time). Published in Politická ekonomie magazine, 2004

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Gibbsian process of convex grains

Rostislav Černý: Gibbsian process of convex grains. Charles University, Prague Faculty of Mathematics and Physics, 2003

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Supervised research and external examinations

Pricing and modeling credit risk

Marek Kolman: Pricing and modeling credit risk. Doctoral Thesis. University of Economics in Prague, Faculty of Finance, 2017. (Supervised by Jiří Witzany)

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Asset Pricing in Emerging Markets – Testing of Downside Risk Measures

Tamara Ajrapetova: Asset Pricing in Emerging Markets – Testing of Downside Risk Measures. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2017. (Supervised by Jiří Witzany)

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Impact analysis of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate (in Czech)

Vojtěch Siuda: Analýza vlivu mediálně významných událostí na finanční trhy (in Czech; Impact analysis of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate). Bachelor thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2017. (Supervised by Jiří Witzany)

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Post-Crisis Valuation of Derivatives

Jaroslav Baran: Post-Crisis Valuation of Derivatives. Doctoral Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2016. (Supervised by Jiří Witzany)

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Support Vector Machines for Credit Scoring

Michal Haltuf: Support Vector Machines for Credit Scoring. Master Thesis. University of Economics in Prague, Faculty of Finance, 2014. (Supervised by Jiří Witzany)

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A comparison of logistic regression and decision trees for scoring model design (in Czech)

Ladislav Kesely: Srovnání logistické regrese a rozhodovacích stromů při tvorbě skóringových modelů (in Czech; A comparison of logistic regression and decision trees for scoring model design). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014. (Supervised by Jiří Witzany)

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Interest Rate Modelling and Forecasting: Macro-Finance Approach

Adam Kučera: Interest Rate Modelling and Forecasting: Macro-Finance Approach. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014. (Supervised by Jiří Witzany)

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Nonlinearity in Time Series Models (in Czech)

František Kalibán: Nelinearita v modelech časových řad (in Czech; Nonlinearity in Time Series Models). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.

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Exchange market pressure: an evaluation using extreme value theory

Barbora Zuzáková: Exchange market pressure: an evaluation using extreme value theory. Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2014.

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Large claims modeling

Barbora Zuzáková: Large claims modeling. Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2013.

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Estimation and goodness-of-fit criteria in logistic regression model (in Czech)

Markéta Ondrušková: Odhadování a kritéria těsnosti modelu logistické regrese (in Czech; Estimation and goodness-of-fit criteria in logistic regression model). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2011. (Supervised by Tomáš Hanzák)

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KMV model in terms of the Czech capital market (in Czech)

Lukáš Jezbera: KMV model v podmínkách českého kapitálového trhu (in Czech; KMV model in terms of the Czech capital market). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2011. (Supervised by Jiří Witzany)

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Credit derivatives market (in Czech)

Martin Prokop: Trh kreditních derivátů (in Czech; Credit derivatives market). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2011. (Supervised by Jiří Witzany)

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Portfolio Credit Risk Modeling

Marek Kolman: Portfolio Credit Risk Modeling. Master Thesis. University of Economics, Prague, Faculty of Finance, 2010. (Supervised by Jiří Witzany)

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Analysis of guaranteed investment funds (in Czech)

Jonáš Mach: Analýza garantovaných investičních fondů (in Czech; Analysis of guaranteed investment funds). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

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Statistical error in representative samples from population (in Czech)

Magdalena Zvejšková: Statistická chyba při reprezentativních výběrech z populace (in Czech; Statistical error in representative samples from population). Bachelor thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Tomáš Hanzák)

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Derivatives pricing using Monte Carlo simulations (in Czech)

Jana Burešová: Oceňování derivátů pomocí Monte Carlo simulací (in Czech, Derivatives pricing using Monte Carlo simulations). Master Thesis. University of Economics in Prague, Faculty of Finance and Accounting, 2010. (Supervised by Jiří Witzany)

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Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio (in Czech)

Jaroslav Baran: Analýza a porovnání různých modelů pro Value at Risk na nelineárním portfoliu (in Czech; Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio). Master Thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2009. (Supervised by Jiří Witzany)

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Estimations of Market and Credit Value at Risk (in Czech)

Jakub Černý: Odhady Value at Risk pro tržní a kreditní riziko (in Czech; Estimations of Market and Credit Value at Risk). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Jiří Witzany)

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Exponential Smoothing (in Czech)

Jakub Mikulka: Exponenciální vyrovnávání(in Czech; Exponential Smoothing). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Tomáš Hanzák)

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Step by Step Credit Risk Model Construction (in Czech)

Michal Rychnovský: Postupná výstavba modelu ohodnocení kreditního rizika (in Czech; Step by Step Credit Risk Model Construction). Bachelor thesis. Charles University in Prague, Faculty of Mathematics and Physics, 2008. (Supervised by Pavel Charamza)

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