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Journal of Credit Risk

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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 2,143
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 926
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 450
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 402
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 202
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 161
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 93
8.

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 3
9.

A Latent Variable Credit Risk Model Comprising Nonlinear Dependencies in a Sector Framework with a Stochastically Dependent Loss Given Default

Journal of Credit Risk, Vol. 13, No. 4, 2017
Number of pages: 38 Posted: 06 Jan 2018
Accepted Paper Series
Jakob Maciag and Matthias Löderbusch
zeb.rolfes.schierenbeck.associates GmbH and University of Muenster - Finance Center Muenster
Downloads 2
10.

Optimal Investment and Financing with Macroeconomic Risk and Loan Guarantees

Journal of Credit Risk, Vol. 13, No. 4, 2017
Number of pages: 24 Posted: 06 Jan 2018
Accepted Paper Series
Xiaolin Tang and Zhaojun Yang
Hunan University - School of Finance and Statistics and Southern University of Science and Technology - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2
11.

A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk

Journal of Credit Risk, Forthcoming
Number of pages: 13 Posted: 14 Feb 2018
Accepted Paper Series
Jakub Cerny and Jiri Witzany
Charles University in Prague - Faculty of Mathematics and Physics and University of Economics in Prague
Downloads 1
12.

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
13.

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
14.

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 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
15.

Issuer Bias in Corporate Ratings Toward Financially Constrained Firms

Journal of Credit Risk, Forthcoming
Number of pages: 35 Posted: 19 Dec 2017
Accepted Paper Series
Mohammad Nazmul Hasan, Nikunj Kapadia and Akhtar R. Siddique
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Risk Analysis Division
Downloads 1
16.

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk, Vol. 14, No. 1, 2018
Number of pages: 30 Posted: 16 Mar 2018
Accepted Paper Series
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and UBS AG

Multiple version iconThere are 2 versions of this paper

Downloads 1
17.

Nonlinear Relationships in a Logistic Model of Default for a High-Default Installment Portfolio

Journal of Credit Risk, Forthcoming
Number of pages: 24 Posted: 07 Feb 2018
Accepted Paper Series
Christian Lohmann and Thorsten Ohliger
University of Wuppertal and University of Wuppertal
Downloads 1
18.

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
19.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1
20.

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
21.

The Large Homogeneous Portfolio Approximation with a Two-Factor Gaussian Copula and Random Recovery Rate

Journal of Credit Risk, Vol. 10, No. 3, 2014
Number of pages: 22 Posted: 06 Jun 2016
Working Paper Series
Geon Ho Choe and Soon Won Kwon
KAIST Business School and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 1
22.

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

23.

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
24.

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 Erlangen-Nürnberg
25.

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
26.

A Fifty-Year Retrospective on Credit Risk Models, the Altman Z -Score Family of Models and their Applications to Financial Markets and Managerial Strategies

Journal of Credit Risk, Vol. 14, No. 4, 2018
Number of pages: 34 Posted: 14 Dec 2018
Accepted Paper Series
Edward I. Altman
New York University (NYU) - Salomon Center
27.

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

28.

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

29.

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
30.

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
31.

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 - Department of Mathematics and Statistics and Everbright Securities Company Limited
32.

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
33.

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
Independent and Bureau of Consumer Financial Protection
34.

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
35.

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
36.

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
MoCaX Intelligence
37.

Bank Risk, Bank Bailouts and Sovereign Capacity During a Financial Crisis: A Cross-Country Analysis

Journal of Credit Risk, 2018
Number of pages: 28 Posted: 28 Nov 2018
Accepted Paper Series
Rafael F. Schiozer, Frederico Mourad and Ramon Silva Vilarins
Fundação Getulio Vargas/EAESP, Government of the Federative Republic of Brazil - Central Bank of Brazil and Government of the Federative Republic of Brazil
38.

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 AG - Talanx Asset Management GmbH and DZ Bank AG
39.

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
40.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Accepted Paper Series
Cornelius Kurtz, Eva Lütkebohmert and Julian Sester
European Central Bank (ECB), University of Freiburg and University of Freiburg
41.

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
42.

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

43.

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

44.

Consumer Risk Appetite, the Credit Cycle and the Housing Bubble

Journal of Credit Risk, Forthcoming
Number of pages: 30 Posted: 16 May 2018
Accepted Paper Series
Joseph Breeden and José J. Canals-Cerda
Prescient Models LLC and Federal Reserve Bank of Philadelphia

Multiple version iconThere are 2 versions of this paper

45.

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
46.

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
47.

Credit Default Prediction Using a Support Vector Machine and a Probabilistic Neural Network

Journal of Credit Risk, Forthcoming
Number of pages: 27 Posted: 09 May 2018
Accepted Paper Series
Mohammad Zoynul Abedin, Guotai Chi, Sisira Colombage and Fahmida-E Moula
affiliation not provided to SSRN, Dalian University of Technology, Federation University Australia and Dalian University of Technology
48.

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
49.

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 Schmitt, Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
50.

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
Grenoble Ecole de Management