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
Moment estimators for autocorrelated time series and their application to default correlations
In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Nonlinear relationships in a logistic model of default for a high-default installment portfolio
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
Issuer bias in corporate ratings toward financially constrained firms
This paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be…
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
Reliability and agreement of credit ratings in the Mexican fixed-income market
This paper borrows concepts from measurement, test and psychometric theories to explore the issue of credit ratings in the Mexican corporate bond market.
When banks venture beyond home turf: consequences for loan performance
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
Primary-firm-driven portfolio loss
This paper describes a simple model that can be used for risk management.
Portfolio credit risk model with extremal dependence of defaults and random recovery
This paper proposes a portfolio credit risk model with random recovery rates.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
Financial distress pre-warning indicators: a case study on Italian listed companies
This paper focuses on the ability of accounting ratios to predict the financial distress status of a firm as defined by the law.
Rethinking the margin period of risk
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
Creditwatches and their impact on financial markets
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Financial and nonfinancial variables as long-horizon predictors of bankruptcy
This paper assesses the predictive ability of financial and nonfinancial variables for a long horizon in a large cross-sectional sample of Finnish firms
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
