Welcome to the first issue of The Journal of Credit Risk for 2020.
In this issue you will find three original research papers.
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
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…