Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Volume 16, Number 1 (March 2020)
Editor's Letter
Welcome to the first issue of The Journal of Credit Risk for 2020.
In this issue you will find three original research papers.
Papers in this issue
Contagious defaults in a credit portfolio: a Bayesian network approach
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…
