IES Working Papers
2021 Interest Rate Risk of Savings Accounts, IES Working Papers 21/2021
2017 A Bayesian Approach to Backtest Overfitting, IES Working Papers 18/2017
2014 Interest Rate Swap Credit Valuation Adjustment, IES Working Papers 16/2014
2013 A Note on the Vasicek’s Model with the Logistic Distribution, IES Working Papers 1/2013
2013 Estimating Default and Recovery Rate Correlations , IES Working Papers 3/2013
2011 Estimating Correlated Jumps and Stochastic Volatilities , IES Working Papers 35/2011
2010 Survival Analysis in LGD Modeling, IES Working Papers 2/2010
2009 Estimating LGD Correlation, IES Working Papers 21/2009
2009 Loss, Default, and Loss Given Default Modeling, IES Working Papers 9/2009
2008 Valuation of Convexity Related Derivatives, IES Working Papers 4/2008
