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
Are all collections equal? The case of medical debt
This paper examines the predictive value of medical collections in assessing consumer creditworthiness with credit scoring models.
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
Time series models for credit default swap premiums
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Hermite approximations in credit portfolio modeling with probability of default–loss given default correlation
The authors present an analytic framework for credit portfolio modeling using Hermite expansions.
The robustness of estimators in structural credit loss distributions
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
Default predictors in credit scoring: evidence from France’s retail banking institution
This paper presents the set-up of a behavioral credit-scoring model, and estimates such a model using an auto loan data set of one of the largest multinational financial institutions based in France.
Systematic risk and yield premiums in the bond market
This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Sovereign risk and the pricing of corporate credit default swaps
How banks’ capital ratio and size affect the stability of the banking system: a simulation-based study
Forecasting credit card portfolio losses in the Great Recession: a study in model risk
Redesigning ratings: assessing the discriminatory power of credit scores under censoring
Analysis of credit portfolio risk using hierarchical multifactor models
Sovereign credit ratings and the new European Union member states
A parametric approach to counterparty and credit risk
Risk analysis probability of default: a stochastic simulation model