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