Journal of Credit Risk
Editor-in-chief: Nikunj Kapadia and Linda Allen
Volume 2, Number 1 (Spring 2006)
Stuart M. Turnbull
Bauer Chaired Professor, Bauer College of Business, University of Houston
I thank Michael Ong for the excellent work he did as the first editor of The Journal of Credit Risk (JCR).
Research in credit risk is of interest to practitioners, regulators and academics. The mandate for the JCR remains unchanged: to provide an avenue for the communication of results in the modeling and management of all aspects of credit risky assets.
In this issue, we have four papers. The first two papers were accepted while Michael Ong was the editor. The first paper, by Robert Stamicar and Christopher C. Finger, shows how to incorporate equity derivative and implied volatilities into the popular CreditGrades model. The second paper, by Michael. B. Walker, revisits the important issue of counterparty risk for credit default swaps. For many commercial banks, private firms constitute the largest part of their loan portfolios. The third paper, by Xuelong Zhou, Jinggang Huang, Craig Friedman, Robert Cangemi and Sven Sandow, describes a model for estimating the probability of default for private firms using machine learning. The last paper, by Dilip B. Madan, Michael Konikov and Mircea Marinescu, examines the use of different distributions for the pricing of credit and basket default swaps.
Papers in this issue
Credit and basket default swaps
Private firm default probabilities via statistical learning theory and utility maximization
Incorporating equity derivatives into the CreditGrades model
Credit default swaps with counterparty risk: a calibrated Markov model