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: 0.4
5-Year Impact Factor: 0.6
CiteScore: 1.6
Latest papers
Agent-based modeling for decentralized autonomous organizations and decentralized finance
The authors propose agent-based modeling for the study of decentralized finance and decentralized autonomous organizations.
Beneath the crypto currents: the hidden effect of crypto “whales”
This paper investigates how different holders of Ether respond to volatility and price movements and shows how challenges and vulnerabilities of traditional finance can be found in the Ether ecosystem.
Fintech adoption and economic growth: exploring the global landscape
The authors argue that increased fintech adoption has a causal relationship with a growth in GDP per capita using data from 112 countries.
How magic a bullet is machine learning for credit analysis? An exploration with fintech lending data
The authors apply machine learning techniques to consumer fintech loan data to assess how such techniques can improve out-of-sample default prediction.
Researching new financial products: using survey evidence to gain insight into buy now, pay later
The authors investigate early adopters of "buy now, pay later" payments and how the use of this service may effect a person's credit.
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Deciphering bankruptcy risk in fintech firms: exploring key factors and implications
The authors delve into bankruptcy risk of Indian fintech firms, identifying the factors that most impact bankruptcy risk.
Survival analysis in credit risk management: a review study
This paper offers a systematic literature review of survival analysis in credit risk assessment and suggests potential future avenues for research.
Uncertainty in the macroeconomic environment, corporate tax avoidance and corporate credit financing: evidence from high-tech listed companies in China
Using data from Chinese high-tech enterprises, the authors investigate links between corporate tax avoidance and bank credit financing.
Default risk in the era of environmental, social and governance ratings: a comparative analysis of divergence
The authors investigate links between ESG ratings divergence and default risk, finding firms demonstrating better ESG performance show lower default risk.
Fintech lending and firm bankruptcies
The authors use data from small business bankruptcy at a county level in California to investigate the impact of fintech lending.
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Consumer credit card payment dynamics over the economic cycle
This papers uses data from 1.8 million credit card accounts to investigate how consumers revolve credit card debt and the impact of this on default risk.
Credit portfolio modeling and pricing using the Poisson binomial distribution
The authors extend the Poisson binomial distribution by integrating correlation and dependence between events, improving model validation and the capture of complex events.
Random survival forests and Cox regression in loss given default estimation
The authors put forward a loss given default model which incorporates the survival process and illustrate their approach with real mortgage data.
How do credit rating agencies and bond investors react to credit guarantees? Evidence from China’s municipal corporate bond market
This paper investigates China's municipal corporate bond market, examining the responses of credit rating agencies and bond investors to credit guarantees.
Credit risk management: a systematic literature review and bibliometric analysis
The authors undertake a literature review and bibliometric analysis of 774 credit risk research papers.
Characteristics of student loan credit recovery: evidence from a micro-level data set
The authors investigate delinquent student loans, identifying factors which influence the likelihood of recovery and proposing means to improve student loan credit recovery rates.
