Search Within Results




Feedback to SSRN

SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 742,181
Full Text Papers: 626,103
Authors: 343,939
Papers Received in
  Last 12 months:
64,534

Paper Downloads:
To date: 113,845,424
Last 12 months: 13,388,139
Last 30 days: 896,041

CiteReader:  What's this?
Papers with
  Resolved
  References:
320,289
Total References: 9,124,793
Papers with Cites: 248,462
Total Citation
  Links:
5,988,945
Papers with
  Resolved
  Footnotes:
93,271
Total Footnotes: 9,047,441


SSRN eLibrary Search Results
Journal of Credit Risk
4,017 Total downloads | Link to this page

Risk Journals Logo
Showing Papers 1 - 50 of 71
Sort By
1 2 | Next >
   

Incl. Fee Electronic Paper Adapting the Basel II Advanced Internal-Ratings-Based Models for International Financial Reporting Standard 9
Journal of Credit Risk, Vol. 13, No. 2, 2017
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Date Posted: June 23, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Primary-Firm-Driven Portfolio Loss
Journal of Credit Risk, Vol. 13, No. 2, 2017
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business
Date Posted: June 23, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery
Journal of Credit Risk, Vol. 13, No. 2, 2017
Jong-June Jeon, Sunggon Kim and Yonghee Lee
University of Seoul, University of Seoul and University of Seoul
Date Posted: June 23, 2017
Accepted Paper Series

Incl. Fee Electronic Paper 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
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
Date Posted: February 28, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper Financial Distress Pre-Warning Indicators: A Case Study on Italian Listed Companies
Journal of Credit Risk, Vol. 13, No. 1, 2017
Francesco De Luca and Enrica Meschieri
University G d'Annunzio di Chieti-Pescara and University “G. d’Annunzio” Chieti–Pescara
Date Posted: January 23, 2017
Working Paper Series

Incl. Fee Electronic Paper Rethinking the Margin Period of Risk
Journal of Credit Risk, Vol. 13, No. 1, 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Date Posted: January 23, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper Creditwatches and Their Impact on Financial Markets
Journal of Credit Risk, Vol. 13, No. 1, 2017
Florian Kiesel
Technische Universität Darmstadt
Date Posted: January 13, 2017
Working Paper Series

Benchmarking the Loss Given Default Parameter for Mortgage Loan Portfolios Under Stress
Journal of Credit Risk, Vol. 12, No. 4, 2016
Lutz Hahnenstein and Christian Greve
Talanx Asset Management GmbH and DZ Bank AG
Date Posted: November 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Financial and Nonfinancial Variables As Long-Horizon Predictors of Bankruptcy
Journal of Credit Risk, Vol. 12, No. 4, 2016
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
Date Posted: October 27, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Further Investigation of Parametric Loss Given Default Modeling
Journal of Credit Risk, Forthcoming
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)
Date Posted: October 18, 2016
Working Paper Series

Incl. Fee Electronic Paper Modeling the Current Loan-to-Value Structure of Mortgage Pools Without Loan-Specific Data
Journal of Credit Risk, Forthcoming
Peter Palmroos
Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
Date Posted: September 29, 2016
Working Paper Series

Incl. Fee Electronic Paper Modeling Joint Defaults in Correlation-Sensitive Instruments
Journal of Credit Risk, Vol. 12, No. 3, 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: August 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default
Journal of Credit Risk, Forthcoming
Han Sheng Sun and Zi Jin
Global Risk Management Network, LLC and Wells Fargo Bank
Date Posted: August 11, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Loan-to-Value on the Default Rate of Residential Mortgage-Backed Securities
Journal of Credit Risk, Forthcoming
Luis Otero González, Pablo Duran Santomil, Rubén Lado-Sestayo and Milagros Vivel Búa
Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies, Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies, University of Coruña - Facultad de Ciencias Economicas y Empresariales and Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Counting Processes for Retail Default Modeling
Journal of Credit Risk, Vol. 11, No. 3, Pages 45–72, 2015,
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Default Predictors in Credit Scoring: Evidence from France's Retail Banking Institution
Journal of Credit Risk, Vol. 11, No. 2, Pages 41–66, 2015,
Ha-Thu Nguyen
University Paris West Nanterre La Defense
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang
York University, RBC Financial Group, York University and Everbright Securities Company Limited
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Loss Distributions: Computational Efficiency in an Extended Framework
Journal of Credit Risk, Vol. 11, No. 4, 2015
Daniel H Stahl
Branch Banking and Trust Corporate (BB&T)
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Are All Collections Equal? The Case of Medical Debt
Journal of Credit Risk, Vol. 11, No. 4, 2015
Kenneth P. Brevoort and Michelle Kambara
Consumer Financial Protection Bureau and Consumer Financial Protection Bureau
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Time Series Models for Credit Default Swap Premiums
Journal of Credit Risk, Vol. 11, No. 3, 2015
Márton Eifert
Technische Universität München (TUM)
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation
Journal of Credit Risk, Vol. 11, No. 3, 2015
Anthony W Owen, James Samuel Bryers and Francois Buet-Golfouse
Barclays, Barclays and Barclays
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Credit Risk: Taking Fluctuating Asset Correlations into Account
Journal of Credit Risk, Vol. 11, No. 3, 2015
Thilo A Schmitt, Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate Derivatives
Journal of Credit Risk, Vol. 11, No. 1, 2015
Jiarui Yang, Tao L. Wu and Geoffrey Harris
FactSet, Illinois Institute of Technology and Federal Reserve Bank of Chicago
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Default Risk of Money-Market Fund Portfolios
Journal of Credit Risk, Vol. 11, No. 4, 2015
Matulya Bansal
Columbia University - Columbia Business School
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Robustness of Estimators in Structural Credit Loss Distributions
Journal of Credit Risk, Vol. 11, No. 2, 2015
Enrique Batiz-Zuk, George A. Christodoulakis and Ser-Huang Poon
Banco de México, Manchester Business School and University of Manchester - Manchester Business School
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Mitja Steinbacher and Matjaz Steinbacher
Fakulteta za poslovne vede and Kiel Institute for the World Economy
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Sovereign Risk and the Pricing of Corporate Credit Default Swaps
Journal of Credit Risk, Vol. 11, No. 1, 2015
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
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Double Default Value-of-the-Firm Model
Journal of Credit Risk, Vol. 12, No. 2, 2016
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Application of Credit Risk Models to Macroeconomic Scenario Analysis and Stress Testing
Journal of Credit Risk, Vol. 12, No. 2, 2016
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Market Pricing of Credit Linked Notes: The Influence of the Financial Crisis
Journal of Credit Risk, Vol. 12, No. 1, 2016
Matthias Walter, Bjoern Haeckel and Andreas Rathgeber
University of Augsburg, University of Augsburg and University of Augsburg - Institute of Materials Resource Management
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Contingent Credit Default Swaps: Accurate and Approximate Pricing
Journal of Credit Risk, Vol. 12, No. 1, 2016
Christian Koziol and Thomas Schön
University of Tübingen and University of Tübingen
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Framework for Market, Credit and Transfer Risk Aggregation and Stress Testing
Journal of Credit Risk, Vol. 12, No. 1, 2016
Simone Farinelli
Core Dynamics GmbH
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Johanna Eckert, Kevin Jakob and Matthias Fischer
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Augsburg and Friedrich-Alexander Universität (FAU)
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Sovereign Credit Ratings and the New European Union Member States
Journal of Credit Risk, Vol. 10, No. 4, 2014
Nick Wilson, Pavol Ochotnicky and Marek Kacer
University of Leeds - Credit Management Research Centre, University of Economics in Bratislava and University of Leeds - Credit Management Research Centre (CMRC)
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Parametric Approach to Counterparty and Credit Risk
Journal of Credit Risk, Vol. 10, No. 4, 2014
Giuseppe Orlando and Maximilian Härtel
University of Bari - Department of Economics and Mathematical Methods and Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores Under Censoring
Journal of Credit Risk, Vol. 10, No. 4, 2014
Holger Kraft, Gerald Kroisandt and Marlene Müller
Goethe University Frankfurt, Fraunhofer ITWM and Beuth University of Applied Sciences Berlin
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Analysis of Credit Portfolio Risk Using Hierarchical Multifactor Models
Journal of Credit Risk, Vol. 10, No. 4, 2014
Pak-Wing Fok, Xiuling Yan and Guangming Yao
University of Delaware - Department of Mathematics, University of Delaware and Clarkson University
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Risk Analysis Probability of Default: A Stochastic Simulation Model
Journal of Credit Risk, Vol. 10, No. 3, 2014
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper The Large Homogeneous Portfolio Approximation with a Two-Factor Gaussian Copula and Random Recovery Rate
Journal of Credit Risk, Vol. 10, No. 3, 2014
Geon Ho Choe and Soon Won Kwon
KAIST Business School and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Collateral and Credit Issues in Derivatives Pricing
Journal of Credit Risk, Vol. 10, No. 3, 2014
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Journal of Credit Risk, Vol. 10, No. 3, 2014
Samim Ghamami and Bo Zhang
Office of Financial Research, US Department of the Treasury and IBM - T. J. Watson Research Center
Date Posted: June 06, 2016
Working Paper Series

Incl. Fee Electronic Paper Asset Correlation of Retail Loans in the Context of the New Basel Capital Accord
Journal of Credit Risk, Vol. 10, No. 2, 2014
Pawel Siarka
Ernst & Young
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper A Credit Value Adjustment Scheme for Bank Loan Portfolios
Journal of Credit Risk, Vol. 10, No. 2, 2014
Dror Parnes
University of South Florida
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper Asset Correlation in Residential Mortgage-Backed Security Reference Portfolios
Journal of Credit Risk, Vol. 10, No. 2, 2014
Marco Geidosch
Unicredit Bank AG
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper Usage and Exposures at Default of Corporate Credit Lines: An Empirical Study
Journal of Credit Risk, Vol. 10, No. 1, 2014
Janet Yinqing Zhao, Douglas W Dwyer and Jing Zhang
Moody's Corporation - New York Office, Moody's Corporation - New York Office and Moody's Corporation - San Francisco Office
Date Posted: June 04, 2016
Working Paper Series

Incl. Fee Electronic Paper Backtesting Counterparty Risk: How Good is Your Model?
Journal of Credit Risk, Vol. 10, No. 1, 2014
Ignacio Ruiz
iRuiz Consulting
Date Posted: June 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling the Credit Contagion Channel and Its Consequences Via the Standard Portfolio Credit Risk Model
Journal of Credit Risk, Vol. 10, No. 1, 2014
Yongwoong Lee and Ser-Huang Poon
University of Technology Sydney (UTS) and University of Manchester - Manchester Business School
Date Posted: June 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper 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
Katarzyna Bijak, Lyn C. Thomas and Christophe Mues
University of Southampton, University of Southampton - School of Management and University of Southampton
Date Posted: June 04, 2016
Working Paper Series
1 downloads

Incl. Fee Electronic Paper A Bond Consistent Derivative Fair Value
Journal of Credit Risk, Vol. 12, No. 2, 2016
Johan Gunnesson and Alberto Fernández Muñoz de Morales
BBVA - Market Quantitative Risk Development and Banco Santander
Date Posted: June 04, 2016
Accepted Paper Series

Incl. Electronic Paper 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
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Date Posted: May 29, 2015
Last Revised: June 10, 2016
Accepted Paper Series
71 downloads


 

1 2 | Next >