Journal of Credit Risk
ISSN:
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: 0.3
5-Year Impact Factor: 0.5
CiteScore: 1.1
Latest papers
Market pricing of credit-linked notes: The case of retail structured products in Germany
Credit default swap trees
Is credit risk really higher in Islamic banks?
Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs
Simulation and estimation of loss given default
Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans
Benchmarking the incremental risk charge
A brief note on implied historical loss given default
Transfer risk under Basel Pillar 1
Lead-lag relationships and rating convergence among credit rating agencies
Treatment of double default effects within the granularity adjustment for Basel II
A multiname first-passage model for credit risk
A generalized credit value adjustment
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model
Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Research Papers
Analytical pricing of basket default swaps in a dynamic Hull-White framework
A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios
Credit rating accuracy and incentives
Pricing and hedging collateralized loan obligations with implied factor models
An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives
