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Journal of Credit Risk

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1.

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
Downloads 2
2.

Systemic Risk in the Financial System: Capital Shortfalls Under Brexit, the US Elections and the Italian Referendum

Journal of Credit Risk, Vol. 14, No. 4, 2018
Number of pages: 24 Posted: 14 Dec 2018
Accepted Paper Series
Robert F. Engle and Cristiano Zazzara
New York University - Leonard N. Stern School of Business - Department of Economics and Libera Università degli Studi Sociali (LUISS) Guido Carli - Fondo Interbancario di Tutela dei Depositi and Instituto di Studi Economici
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3.

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
4.

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, Institute for Economic Research and University of Freiburg
5.

Modeling Dependent Risk Factors with CreditRisk

Journal of Credit Risk, Vol. 14, No. 2, 2018
Number of pages: 16 Posted: 31 Aug 2018
Accepted Paper Series
Xiaohang Zhang, SuBang Choe, Ji Zhu and Jill Bewick
Beijing University of Posts and Telecommunications (BUPT), Independent, University of Michigan at Ann Arbor and Independent
6.

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

7.

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
8.

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

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9.

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
10.

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 2
11.

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

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12.

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
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13.

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
14.

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
15.

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
16.

When Banks Venture Beyond Home Turf: Consequences for Loan Performance

Journal of Credit Risk, Vol. 13, No. 3, 2017
Number of pages: 20 Posted: 06 Sep 2017
Accepted Paper Series
Yuta Tanoue and Satoshi Yamashita
The Graduate University for Advanced Studies - School of Multidisciplinary Sciences and The Institute of Statistical Mathematics
17.

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
18.

Primary-Firm-Driven Portfolio Loss

Journal of Credit Risk, Vol. 13, No. 2, 2017
Number of pages: 20 Posted: 23 Jun 2017
Accepted Paper Series
Stuart M. Turnbull
University of Houston - C.T. Bauer College of Business
19.

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
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.

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
22.

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
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23.

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
24.

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
Ampega Asset Management GmbH and DZ Bank AG
25.

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
26.

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
Federal Deposit Insurance Corporation, 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)
27.

Modeling the Current Loan-to-Value Structure of Mortgage Pools Without Loan-Specific Data

Journal of Credit Risk, Forthcoming
Number of pages: 15 Posted: 29 Sep 2016
Working Paper Series
Peter Palmroos
Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
28.

Modeling Joint Defaults in Correlation-Sensitive Instruments

Journal of Credit Risk, Vol. 12, No. 3, 2016
Number of pages: 28 Posted: 24 Aug 2016
Accepted Paper Series
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and University of Warsaw - Faculty of Economic Sciences
29.

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
30.

The Impact of Loan-to-Value on the Default Rate of Residential Mortgage-Backed Securities

Journal of Credit Risk, Forthcoming
Number of pages: 13 Posted: 28 Jul 2016
Accepted Paper Series
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 A Coruña - Facultad de Ciencias Economicas y Empresariales and Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies
31.

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
32.

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
33.

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
34.

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 Stahl
Branch Banking and Trust Corporate (BB&T)
35.

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
36.

Time Series Models for Credit Default Swap Premiums

Journal of Credit Risk, Vol. 11, No. 3, 2015
Number of pages: 24 Posted: 16 Jun 2016
Accepted Paper Series
Márton Eifert
Technische Universität München (TUM)
37.

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 Owen, James Bryers and Francois Buet-Golfouse
Barclays, Barclays and Barclays
38.

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
39.

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
Number of pages: 36 Posted: 16 Jun 2016
Accepted Paper Series
Jiarui Yang, Tao L. Wu and Geoffrey Harris
FactSet, Illinois Institute of Technology and Federal Reserve Bank of Chicago
40.

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
41.

The Robustness of Estimators in Structural Credit Loss Distributions

Journal of Credit Risk, Vol. 11, No. 2, 2015
Number of pages: 32 Posted: 15 Jun 2016
Accepted Paper Series
Enrique Batiz-Zuk, George A. Christodoulakis and Ser-Huang Poon
Banco de México, Manchester Business School and University of Manchester - Manchester Business School
42.

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
43.

Sovereign Risk and the Pricing of Corporate Credit Default Swaps

Journal of Credit Risk, Vol. 11, No. 1, 2015
Number of pages: 28 Posted: 15 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

44.

The Double Default Value-of-the-Firm Model

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Accepted Paper Series
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)
45.

The Application of Credit Risk Models to Macroeconomic Scenario Analysis and Stress Testing

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 46 Posted: 14 Jun 2016
Accepted Paper Series
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
46.

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
47.

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
48.

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

49.

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
50.

Sovereign Credit Ratings and the New European Union Member States

Journal of Credit Risk, Vol. 10, No. 4, 2014
Number of pages: 42 Posted: 06 Jun 2016
Accepted Paper Series
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)