Journal of Credit Risk
ISSN:
1744-6619 (print)
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: 0.880
5-Year Impact Factor: 1.045
CiteScore: 1.6
Latest papers
Asset correlation in residential mortgage-backed security reference portfolios
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
A credit value adjustment scheme for bank loan portfolios
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs) for the unilateral default risk exposures of lending institutions both at the individual loan level and at the entire portfolio level.
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Usage and exposures at default of corporate credit lines: an empirical study
Backtesting counterparty risk: how good is your model?
Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model
Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan
Valuation differences between credit default swap and corporate bond markets
The art of probability-of-default curve calibration
The effect of training set selection when predicting defaulting small and medium-sized enterprises with unbalanced data
Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
Sample selection bias in acquisition credit scoring models: an evaluation of the supplemental-data approach
Recovery rate risk and credit spreads in a hybrid credit risk model
Pricing of contingent convertibles under smile conform models
Analytical solutions for the expected loss of a collateralized loan: a square root intensity process negatively correlated with collateral value
Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio
A clusterized copula-based probability distribution of a counting variable for high-dimensional problems
A nonparametric approach to incorporating incomplete workouts into loss given default estimates
Counterparty risk subject to additional termination event clauses