Journal of Credit Risk
ISSN:
1755-9723 (online)
Editor-in-chief: Linda Allen and Fan Yu
Volume 22, Number 3 (September 2026)
Papers in this issue
Bank loan credit risk pooling: risk diversification versus the moral hazard problem
This paper offers a credit risk pooling arrangement which negates the moral hazard problem and improves the risk-return profiles of participating banks.
Bayesian clustering for portfolio credit risk
The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.
Quantification of margin of conservatism category C: correlations and quantification levels
The author suggests means for margin of conservatism type C quantification of overlapping one-year default rates and approximate the confidence level for MoC C quantification at grade level.
