SSRN Journal of Credit Risk

1.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming

Number of pages: 70 Posted: 30 Jul 2008

Accepted Paper Series

Dennis Glennon, Nicholas M. Kiefer, C. Erik Larson and Hwan-sik Choi

Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing

Downloads 2,007

2.

Parameterizing Credit Risk Models

Journal of Credit Risk, Vol. 2, No. 4, 2006

Number of pages: 36 Posted: 13 May 2004 Last Revised: 21 Feb 2009

Working Paper Series

Alfred Hamerle and Daniel Roesch

University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg

Downloads 876

3.

The Underlying Dynamics of Credit Correlations

Journal of Credit Risk, Vol. 3, No. 2, p. 27

Number of pages: 37 Posted: 06 Nov 2005 Last Revised: 16 Jan 2012

Accepted Paper Series

Arthur M. Berd, Robert F. Engle and Artem B. Voronov

General Quantitative, LLC, New York University - Leonard N. Stern School of Business - Department of Economics and New York University (NYU) - Department of Economics

There are 3 versions of this paper

Downloads 439

4.

Forecasting Credit Card Portfolio Losses in the Great Recession: A Study in Model Risk

Journal of Credit Risk, 2015, FRB of Philadelphia Working Paper No. 14-10

Number of pages: 38 Posted: 01 Apr 2014

Working Paper Series

José J. Canals-Cerda and Sougata Kerr

Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia

Downloads 354

5.

On Recovery and Intensity's Correlation - A New Class of Credit Risk Models

Journal of Credit Risk, Vol. 4, No. 2, pp. 1-33

Number of pages: 28 Posted: 04 Jul 2008 Last Revised: 15 Apr 2010

Working Paper Series

Raquel M. Gaspar and Irina Slinko

ISEG and Cemapre, Universidade de Lisboa and Swedbank, Group Risk Control

Downloads 194

6.

Sovereign Risk and the Pricing of Corporate Credit Default Swaps

Journal of Credit Risk, 2015, University of St.Gallen, School of Finance Research Paper No. 2014/23

Number of pages: 33 Posted: 25 Jan 2015 Last Revised: 10 Jun 2016

Accepted Paper Series

Matthias Haerri, Stefan Morkoetter and Simone Westerfeld

University of Applied Sciences Northwestern Switzerland (CH), University of St. Gallen - School of Finance and University of St. Gallen (HSG), School of Finance

There are 2 versions of this paper

Downloads 150

7.

Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds

Journal of Credit Risk, Vol. 12, No. 2, p. 1-34, 2016

Number of pages: 27 Posted: 29 May 2015 Last Revised: 10 Jun 2016

Accepted Paper Series

Dirk Tasche

Swiss Financial Market Supervisory Authority (FINMA)

Downloads 79

8.

Adapting the Basel II Advanced Internal-Ratings-Based Models for International Financial Reporting Standard 9

Journal of Credit Risk, Vol. 13, No. 2, 2017

Number of pages: 32 Posted: 23 Jun 2017

Accepted Paper Series

Peter Miu and Bogie Ozdemir

McMaster University - DeGroote School of Business and Standard & Poor's

Downloads 1

9.

Dynamic Affordability Assessment: Predicting an Applicant's Ability to Repay Over the Life of the Loan

Journal of Credit Risk, Vol. 10, No. 1, 2014

Number of pages: 30 Posted: 04 Jun 2016

Working Paper Series

Katarzyna Bijak, Lyn C. Thomas and Christophe Mues

University of Southampton, University of Southampton - School of Management and University of Southampton

Downloads 1

10.

Financial and Nonfinancial Variables As Long-Horizon Predictors of Bankruptcy

Journal of Credit Risk, Vol. 12, No. 4, 2016

Number of pages: 30 Posted: 27 Oct 2016

Accepted Paper Series

Edward I. Altman, Malgorzata Iwanicz-Drozdowska, Erkki K. Laitinen and Arto Suvas

New York University (NYU) - Salomon Center, Warsaw School of Economics, Institute of Finance, University of Vaasa, Department of Accounting and Finance, Students and University of Vaasa - Department of Accounting and Finance

Downloads 1

11.

Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery

Journal of Credit Risk, Vol. 13, No. 2, 2017

Number of pages: 32 Posted: 23 Jun 2017

Accepted Paper Series

Jong-June Jeon, Sunggon Kim and Yonghee Lee

University of Seoul, University of Seoul and University of Seoul

Downloads 1

12.

Reliability and Agreement of Credit Ratings in the Mexican Fixed-Income Market

Journal of Credit Risk, Vol. 13, No. 3, 2017

Number of pages: 26 Posted: 06 Sep 2017

Accepted Paper Series

Ventura Charlin and Arturo Cifuentes

V. C. Consultants and Finance & Economics Division, Columbia University

There are 2 versions of this paper

Downloads 1

13.

Rethinking the Margin Period of Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017

Number of pages: 45 Posted: 23 Jan 2017

Working Paper Series

Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol

Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL

Downloads 1

14.

Stochastic Loss Given Default and Exposure at Default in a Structural Model of Portfolio Credit Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017

Number of pages: 30 Posted: 28 Feb 2017

Working Paper Series

Florian Kaposty, Matthias Löderbusch and Jakob Maciag

University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and zeb.rolfes.schierenbeck.associates GmbH

Downloads 1

15.

A Bond Consistent Derivative Fair Value

Journal of Credit Risk, Vol. 12, No. 2, 2016

Number of pages: 22 Posted: 04 Jun 2016

Accepted Paper Series

Johan Gunnesson and Alberto Fernández Muñoz de Morales

BBVA - Market Quantitative Risk Development and Banco Santander

There are 2 versions of this paper

16.

A Conditional Valuation Approach for Path-Dependent Instruments

Journal of Credit Risk, 2005

Posted: 16 Jan 2008

Accepted Paper Series

Steven H. Zhu and Dante Lomibao

Banc of America Merrill Lynch and Morgan Stanley

There are 2 versions of this paper

17.

A Credit Portfolio Framework Under Dependent Risk Parameters: Probability of Default, Loss Given Default and Exposure at Default

Journal of Credit Risk, Vol. 12, No. 1, 2016

Number of pages: 24 Posted: 14 Jun 2016

Accepted Paper Series

Johanna Eckert, Kevin Jakob and Matthias Fischer

University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Augsburg and Friedrich-Alexander Universität (FAU)

18.

A Credit Value Adjustment Scheme for Bank Loan Portfolios

Journal of Credit Risk, Vol. 10, No. 2, 2014

Number of pages: 30 Posted: 04 Jun 2016

Working Paper Series

Dror Parnes

University of South Florida

19.

A Framework for Market, Credit and Transfer Risk Aggregation and Stress Testing

Journal of Credit Risk, Vol. 12, No. 1, 2016

Number of pages: 42 Posted: 14 Jun 2016

Accepted Paper Series

Simone Farinelli

Core Dynamics GmbH

There are 2 versions of this paper

20.

A Parametric Approach to Counterparty and Credit Risk

Journal of Credit Risk, Vol. 10, No. 4, 2014

Number of pages: 38 Posted: 06 Jun 2016

Accepted Paper Series

Giuseppe Orlando and Maximilian Härtel

University of Bari - Department of Economics and Mathematical Methods and Ludwig Maximilian University of Munich - Department of Mathematics

There are 2 versions of this paper

21.

Addressing Probationary Period within a Competing Risks Survival Model for Retail Mortgage Loss Given Default

Journal of Credit Risk, Vol. 13, No. 3, 2017

Number of pages: 20 Posted: 06 Sep 2017

Accepted Paper Series

Richard Wood and David Powell

Lloyds Banking Group and Principality Building Society

22.

Adjusting Corporate Default Rates for Rating Withdrawals

Journal of Credit Risk, Vol. 3, No. 2, 2007

Posted: 22 Jun 2007

Accepted Paper Series

David T. Hamilton and Richard Cantor

Moody's Analytics and Moody's Investors Service

23.

An Analytical Value-at-Risk Approach for a Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing

Journal of Credit Risk, Vol. 11, No. 4, 2015

Number of pages: 28 Posted: 16 Jun 2016

Accepted Paper Series

Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang

York University, RBC Financial Group, York University and Everbright Securities Company Limited

24.

Analysis of Credit Portfolio Risk Using Hierarchical Multifactor Models

Journal of Credit Risk, Vol. 10, No. 4, 2014

Number of pages: 26 Posted: 06 Jun 2016

Working Paper Series

Pak-Wing Fok, Xiuling Yan and Guangming Yao

University of Delaware - Department of Mathematics, University of Delaware and Clarkson University

25.

Are All Collections Equal? The Case of Medical Debt

Journal of Credit Risk, Vol. 11, No. 4, 2015

Number of pages: 26 Posted: 16 Jun 2016

Accepted Paper Series

Kenneth P. Brevoort and Michelle Kambara

Consumer Financial Protection Bureau and Consumer Financial Protection Bureau

26.

Asset Correlation in Residential Mortgage-Backed Security Reference Portfolios

Journal of Credit Risk, Vol. 10, No. 2, 2014

Number of pages: 26 Posted: 04 Jun 2016

Working Paper Series

Marco Geidosch

Unicredit Bank AG

27.

Asset Correlation of Retail Loans in the Context of the New Basel Capital Accord

Journal of Credit Risk, Vol. 10, No. 2, 2014

Number of pages: 20 Posted: 04 Jun 2016

Working Paper Series

Pawel Siarka

Ernst & Young

28.

Backtesting Counterparty Risk: How Good is Your Model?

Journal of Credit Risk, Vol. 10, No. 1, 2014

Number of pages: 34 Posted: 04 Jun 2016

Accepted Paper Series

Ignacio Ruiz

iRuiz Consulting

29.

Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress

Journal of Credit Risk, Vol. 12, No. 4, 2016

Posted: 01 Nov 2016

Accepted Paper Series

Lutz Hahnenstein and Christian Greve

Talanx Asset Management GmbH and DZ Bank AG

30.

Better Ingredients

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005

Posted: 14 Nov 2005

Accepted Paper Series

Christopher C. Finger and Robert Stamicar

RiskMetrics Group - MSCI and RiskMetrics Group

31.

CDO Pricing with Factor Models: Survey and Comments

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005

Posted: 13 Nov 2005

Accepted Paper Series

Leif B. G. Andersen and Jakob Sidenius

Bank of America Merrill Lynch and Independent

32.

CDO Rating Methodology: Some Thoughts On Model Risk And Its Implications

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005

Posted: 14 Nov 2005

Accepted Paper Series

Ingo Fender and John Kiff

Bank for International Settlements (BIS) and International Monetary Fund

There are 2 versions of this paper

33.

Collateral and Credit Issues in Derivatives Pricing

Journal of Credit Risk, Vol. 10, No. 3, 2014

Number of pages: 26 Posted: 06 Jun 2016

Working Paper Series

John C. Hull and Alan White

University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

There are 2 versions of this paper

34.

Contingent Credit Default Swaps: Accurate and Approximate Pricing

Journal of Credit Risk, Vol. 12, No. 1, 2016

Number of pages: 22 Posted: 14 Jun 2016

Accepted Paper Series

Christian Koziol and Thomas Schön

University of Tübingen and University of Tübingen

35.

Counting Processes for Retail Default Modeling

Journal of Credit Risk, Vol. 11, No. 3, Pages 45–72, 2015,

Number of pages: 28 Posted: 16 Jun 2016

Accepted Paper Series

Nicholas M. Kiefer and C. Erik Larson

Cornell University - Department of Economics and Promontory Financial Group

36.

Credit Portfolio Risk and Probability of Default Confidence Sets through the Business Cycle

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005

Posted: 10 May 2006

Accepted Paper Series

Stefan Trück and Svetlozar Rachev

Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University

37.

Credit Risk: Taking Fluctuating Asset Correlations into Account

Journal of Credit Risk, Vol. 11, No. 3, 2015

Number of pages: 22 Posted: 16 Jun 2016

Accepted Paper Series

Thilo A Schmitt, Rudi Schäfer and Thomas Guhr

University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen

38.

Creditwatches and Their Impact on Financial Markets

Journal of Credit Risk, Vol. 13, No. 1, 2017

Number of pages: 25 Posted: 13 Jan 2017

Working Paper Series

Florian Kiesel

Darmstadt University of Technology

39.

Default and Recovery Rates of Asia-Pacific Corporate Bond Issuers, 1990-2003

Journal of Credit Risk, Vol. 1, No. 2, pp. 3-34, Spring 2005

Posted: 25 Apr 2005

Accepted Paper Series

Praveen Varma

Moody's Investors Service

40.

Default Predictors in Credit Scoring: Evidence from France's Retail Banking Institution

Journal of Credit Risk, Vol. 11, No. 2, Pages 41–66, 2015,

Number of pages: 26 Posted: 16 Jun 2016

Accepted Paper Series

Ha-Thu Nguyen

University Paris West Nanterre La Defense

41.

Default Risk of Money-Market Fund Portfolios

Journal of Credit Risk, Vol. 11, No. 4, 2015

Number of pages: 30 Posted: 15 Jun 2016

Accepted Paper Series

Matulya Bansal

Columbia University - Columbia Business School

42.

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk, Vol. 10, No. 3, 2014

Number of pages: 48 Posted: 06 Jun 2016

Working Paper Series

Samim Ghamami and Bo Zhang

Office of Financial Research, US Department of the Treasury and IBM - T. J. Watson Research Center

There are 2 versions of this paper

43.

Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default

Journal of Credit Risk, Forthcoming

Number of pages: 27 Posted: 11 Aug 2016

Accepted Paper Series

Han Sheng Sun and Zi Jin

Global Risk Management Network, LLC and Wells Fargo Bank

44.

Expected Loss and Fair Value over the Credit Cycle

Journal of Credit Risk, Vol. 1, No. 2, pp. 35-50, Spring 2005

Posted: 25 Apr 2005

Accepted Paper Series

Daniel Philps and Solomon Peters

Mondrian Investment Partners and Mondrian Investment Partners

45.

Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings

Journal of Credit Risk, Vol. 1, No. 1, pp. 29-70, Winter 2004/05

Posted: 26 Apr 2005

Accepted Paper Series

Leif B. G. Andersen and Jakob Sidenius

Bank of America Merrill Lynch and Independent

46.

Financial Distress Pre-Warning Indicators: A Case Study on Italian Listed Companies

Journal of Credit Risk, Vol. 13, No. 1, 2017

Number of pages: 22 Posted: 23 Jan 2017

Working Paper Series

Francesco De Luca and Enrica Meschieri

University G d'Annunzio di Chieti-Pescara and University “G. d’Annunzio” Chieti–Pescara

47.

Further Investigation of Parametric Loss Given Default Modeling

Journal of Credit Risk, Forthcoming

Number of pages: 31 Posted: 18 Oct 2016

Working Paper Series

Phillip Li, Min Qi, Xiaofei Zhang and Xinlei Zhao

Office of the Comptroller of the Currency, Office of the Comptroller of the Currency - Credit Risk Analysis Division, Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

48.

Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation

Journal of Credit Risk, Vol. 11, No. 3, 2015

Number of pages: 20 Posted: 16 Jun 2016

Accepted Paper Series

Anthony W Owen, James Samuel Bryers and Francois Buet-Golfouse

Barclays, Barclays and Barclays

49.

How Banks’ Capital Ratio and Size Affect the Stability of the Banking System: A Simulation-Based Study

Journal of Credit Risk, Vol. 11, No. 1, 2015

Number of pages: 34 Posted: 15 Jun 2016

Accepted Paper Series

Mitja Steinbacher and Matjaz Steinbacher

Fakulteta za poslovne vede and Kiel Institute for the World Economy

50.

Linear and Non-linear Credit Scoring by Combining Logistic Regression and Support Vector Machines

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005

Posted: 10 May 2006

Accepted Paper Series

Tony Van Gestel, Bart Baesens, Peter Van Dijcke, Johan A. K. Suykens, Joao Garcia and Thomas Alderweireld

Dexia Group. Credit Risk Modelling. Group Risk Management, KU Leuven - Department of Applied Economics, Dexia Groupe - Credit Risk Modelling Group - Risk Management, KU Leuven, Fitch Solutions and Dexia Groupe - Credit Risk Modelling Group - Risk Management

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