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Journal of Credit Risk

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Viewing: 1 - 50 of 71 papers

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 1,979
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 874
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

Multiple version iconThere are 3 versions of this paper

Downloads 436
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 348
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

Multiple version iconThere are 2 versions of this paper

Downloads 145
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 74
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.

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
13.

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
14.

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

Multiple version iconThere are 2 versions of this paper

15.

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

Multiple version iconThere are 2 versions of this paper

16.

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)
17.

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
18.

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

Multiple version iconThere are 2 versions of this paper

19.

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

Multiple version iconThere are 2 versions of this paper

20.

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
21.

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
22.

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
23.

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
24.

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
25.

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
26.

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
27.

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
28.

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
29.

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
30.

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

Multiple version iconThere are 2 versions of this paper

31.

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

Multiple version iconThere are 2 versions of this paper

32.

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
33.

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
34.

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
35.

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
36.

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
Technische Universität Darmstadt
37.

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
38.

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
39.

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
40.

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

Multiple version iconThere are 2 versions of this paper

41.

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
42.

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
43.

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
44.

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
45.

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)
46.

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
47.

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
48.

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
49.

Loss Distributions: Computational Efficiency in an Extended Framework

Journal of Credit Risk, Vol. 11, No. 4, 2015
Number of pages: 14 Posted: 16 Jun 2016
Accepted Paper Series
Daniel H Stahl
Branch Banking and Trust Corporate (BB&T)
50.

Market Pricing of Credit Linked Notes: The Influence of the Financial Crisis

Journal of Credit Risk, Vol. 12, No. 1, 2016
Number of pages: 32 Posted: 14 Jun 2016
Accepted Paper Series
Matthias Walter, Bjoern Haeckel and Andreas Rathgeber
University of Augsburg, University of Augsburg and University of Augsburg - Institute of Materials Resource Management
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