Journal of Credit Risk
ISSN:
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
About this journal
With the adoption of machine learning and artificial intelligence in financial institutions, credit analysis methodologies and applications are rapidly evolving.
The Journal of Credit Risk is at the forefront in tackling the many issues and challenges posed by these novel technologies both in and out of periods of financial crisis. Topics include fintech, liquidity risk and the connection to credit risk, the valuation and hedging of credit products, and the promotion of greater understanding in the area of credit risk theory and practice.
The Journal of Credit Risk considers submissions in the form of research papers and technical reports on, but not limited to, the following topics.
- Modeling and management of portfolio credit risk.
- Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events.
- The pricing and hedging of credit derivatives.
- Structured credit products and securitizations, eg, collateralized debt obligations, synthetic securitizations, credit baskets, etc.
- Machine learning and artificial intelligence.
- Credit risk implications of blockchain, crypto currencies and fintech firms.
- Measuring, managing and hedging counterparty credit risk.
- Credit risk transfer techniques.
- Liquidity risk and extreme credit events.
- Regulatory issues, such as Basel II and III, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; Excellence Research Australia; Econbiz; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.3
5-Year Impact Factor: 0.5
CiteScore: 1.1
Latest papers
Bounds for rating override rates
Calibration of structural and reduced-form recovery models
Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models
Addendum to “Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs”
An asset drop model as an alternative to the treatment of double defaults within the Basel framework
A survey of loan credit default swap pricing models
Collateralized credit default swaps and default dependence: implications for the central counterparties
Impact of factor models on portfolio risk measures: a structural approach
Two models of stochastic loss given default
Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure
Modeling exposure at default and loss given default: empirical approaches and technical implementation
Credit loss and systematic loss given default
New risk analysis tools with accounting changes: adjusted Z-score
The impact of counterparty risk on credit default swap pricing dynamics
Pricing corporate loans under the risk-neutral measure
Approximating default probabilities with soft information
Modelling sector correlations with CreditRisk+: The common background vector model
Approximating independent loss distributions with an adjusted binomial distribution
Credit default model for a dynamically changing economy
Generalized beta regression models for random loss-given-default
