Editors-in-Chief: Linda Allen, Baruch College, CUNY & Michael Gordy, Federal Reserve Board
With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk is at the forefront in tackling the many issues and challenges posed by the recent financial crisis, focussing on the measurement and management of credit risk, the valuation and hedging of credit products, and the promotion of greater understanding in the area of credit risk theory and practice.
Tackling the issues brought on by the financial crisis...
The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on the following, but not limited to, topics:
Modelling 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
Pricing and hedging of credit derivatives
Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc.
Measuring managing and hedging counterparty credit risk
Credit risk transfer techniques
Liquidity risk and extreme credit events
Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy
