Welcome to the June 2020 issue of The Journal of Credit Risk.
In this issue we have three interesting and topical research papers. First we have a paper from Edward Altman looking at the impact of the coronavirus on the credit cycle. Our second paper presents an IFRS 9 compliant solution related to expected credit loss modeling, from author Mariya Gubareva. And finally we have a paper from Ventura Charlin and Arturo Cifuentes, looking at art-secured lending.
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…
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
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.