Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
About this journal
With the adoption of machine learning and artificial intelligence in financial institutions, credit analysis methodologies and applications are rapidly evolving.
The Journal of Credit Risk is at the forefront in tackling the many issues and challenges posed by these novel technologies both in and out of periods of financial crisis. Topics include fintech, liquidity risk and the connection to credit risk, the valuation and hedging of credit products, and the promotion of greater understanding in the area of credit risk theory and practice.
The Journal of Credit Risk considers submissions in the form of research papers and technical reports on, but not limited to, the following topics.
- Modeling and management of portfolio credit risk.
- Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events.
- The pricing and hedging of credit derivatives.
- Structured credit products and securitizations, eg, collateralized debt obligations, synthetic securitizations, credit baskets, etc.
- Machine learning and artificial intelligence.
- Credit risk implications of blockchain, crypto currencies and fintech firms.
- Measuring, managing and hedging counterparty credit risk.
- Credit risk transfer techniques.
- Liquidity risk and extreme credit events.
- Regulatory issues, such as Basel II and III, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.
Abstracting and Indexing: Scopus; Web of Science - Social Science Index; EconLit; Excellence Research Australia; Econbiz; and Cabell’s Directory
Journal Metrics:
Journal Impact Factor: 0.880
5-Year Impact Factor: 1.045
CiteScore: 1.6
Latest papers
Modeling credit exposure for collateralized counterparties
On pricing risky loans and collateralized fund obligations
Pricing kth-to-default swaps in a Lévy-time framework
Valuing CDOs of bespoke portfolios with implied multi-factor models
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation
CDO pricing with expected loss parametric interpolation
Measuring and managing risk in innovative financial instruments
Tail-risk management: an investor's perspective
The re-emergence of distressed exchanges in corporate restructurings
Underwriting versus economy: a new approach to decomposing mortgage losses
Balance sheet exposures leading towards the credit crunch in global investment banks
Credit value adjustment for credit default swaps via the structural default model
Toward a clear understanding of the systemic risks of large institutions
The credit crunch of 2007: what went wrong? Why? What lessons can be learned?
Modeling credit spreads with the Cheyette model and its application to credit default swaptions
An introduction to pricing correlation products using a pair-wise correlation matrix
Modeling multi-period corporate default probability when hazard ratios decay
The systematic and idiosyncratic modules of bankruptcy risk
Pricing constant maturity credit default swaps under jump
An extended CreditRisk+ framework for portfolio credit risk management