With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focusses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a 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 papers, on the following, but not limited to, topics:
- Modelling 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
- Pricing and hedging of credit derivatives
- Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc.
- Measuring managing and hedging counterparty credit risk
- Credit risk transfer techniques
- Liquidity risk and extreme credit events
- Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of credit default swap premiums.
This issue includes measures of bond systematic risk, a behavioural credit-scoring model, and Monte Carlo results for the performance of MM, ML and OLS estimators.
In this issue of The Journal of Credit Risk we present three research papers. Our first paper is "Valuation differences between credit default swap and corporate bond markets" by Oliver Entrop, Richard Schiemert and Marco Wilkens...