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 focuses 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 topics including, but not limited to:
- 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
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; Excellence Research Australia; Econbiz; and Cabell’s Directory
Impact Factor: 0.226
5-Year Impact Factor: 0.354
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
This paper analyzes whether in Italy the price of consumer loans is based on borrower-specific credit risk.
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
This paper uses SRISK to quantify the estimated capital shortfalls of financial institutions under three relevant stress events that occurred in 2016: Brexit, the Trump election and the Italian referendum.
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit…
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.