Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Michael Gordy and Linda Allen
About this journal
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
Journal Metrics:
Impact Factor: 0.226
5-Year Impact Factor: 0.354
CiteScore: 0.17
Latest papers
Supervisory bank risk early warning modeling: an examiner’s first line of defense
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…
The impact of data aggregation and risk attributes on stress testing models of mortgage default
In this paper, the authors investigate how data aggregation and risk attributes affect the development and performance of stress testing models by studying residential mortgage loan defaults.
Stress testing household debt
The authors estimate a county-level model of household delinquency and use it to conduct “stress tests” of household debt.
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
Corporate default risk modeling under distressed economic and financial conditions in a developing economy
The authors create stepwise logistic regression models to predict the probability of default for private nonfinancial firms under distressed financial and economic conditions in a developing economy. Their main aim is to identify and interpret the…
A joint model of failures and credit ratings
The authors propose a novel framework for credit risk modeling, where default or failure information and rating or expert information are jointly incorporated in the model.
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.
Current expected credit loss procyclicality: it depends on the model
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Contagious defaults in a credit portfolio: a Bayesian network approach
Costs of capital under credit risk
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…
Basel risk weight functions and forward-looking expected credit losses
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…
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
On probability of default and its relation to observed default frequency and a common factor
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.
Asset correlation estimation for inhomogeneous exposure pools
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.
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
A consumer credit risk structural model based on affordability: balance at risk
