Jiří Witzany is currently an assistant Professor at the Faculty of Finance and Accounting of University of Economics in Prague (Czech Republic). He received his RNDr. degree in Mathematics form Faculty of Mathematics and Physics, Charles University, Prague, and his Ph.D. from the Pennsylvania State University. He lectured at the University of California, Los Angeles and at the Charles University. He has also got practical risk management experience in various international banks. His main research areas are financial derivatives and credit risk modeling. He has published over 50 publications including three monographies. His most recent book "Credit Risk Management: Pricing, Measurement, and Modeling" has been published with Springer in 2017.
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).