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Journal of Credit Risk

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1.

The Economics of Debt Collection, with Attention to the Issue of Salience of Collections at the Time Credit Is Granted

Journal of Credit Risk, Vol. 16, No. 4, 2020
Number of pages: 34 Posted: 19 Jan 2021
Accepted Paper Series
Erik Durbin and Charles J. Romeo
Consumer Financial Protection Bureau and Consumer Financial Protection Bureau
2.

Bankcard Performance During the Great Recession: A Consumer-level Analysis

Journal of Credit Risk, Vol. 16, No. 4, 2020
Number of pages: 42 Posted: 19 Jan 2021
Accepted Paper Series
Paul S. Calem, Julapa Jagtiani and Loretta J. Mester
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Cleveland
3.

From Incurred Loss to Current Expected Credit Loss: A Forensic Analysis of the Allowance for Loan Losses in Unconditionally Cancelable Credit Card Portfolios

Journal of Credit Risk, Vol. 16, No. 4, 2020
Number of pages: 42 Posted: 19 Jan 2021
Accepted Paper Series
José J. Canals-Cerda
Federal Reserve Bank of Philadelphia
4.

The Effects of Customer Segmentation, Borrower Behaviors and Analytical Methods on the Performance of Credit Scoring Models in the Agribusiness Sector

Journal of Credit Risk, Vol. 16, No. 4, 2020
Number of pages: 38 Posted: 19 Jan 2021
Accepted Paper Series
Daniela Lazo, Raffaella Calabrese and Cristian Bravo
University of Talca, University of Essex and Western University
5.

The Impact of Data Aggregation and Risk Attributes on Stress Testing Models of Mortgage Default

Journal of Credit Risk, Vol. 16, No. 3, 2020
Number of pages: 40 Posted: 19 Jan 2021
Accepted Paper Series
Feng Li and Yan Zhang
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)

Multiple version iconThere are 2 versions of this paper

6.

Supervisory Bank Risk Early Warning Modeling: An Examiner’s FIrst Line of Defense

Journal of Credit Risk, Vol. 16, No. 3, 2020
Number of pages: 26 Posted: 19 Jan 2021
Accepted Paper Series
Christopher Henderson, Shaohui Jia and Charles Mattioli
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
7.

Stress Testing Household Debt

Journal of Credit Risk, Vol. 16, No. 3, 2020
Number of pages: 34 Posted: 19 Jan 2021
Accepted Paper Series
Neil Bhutta, Jesse Bricker, Lisa J. Dettling, Jimmy Kelliher and Steven Laufer
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

8.

IFRS 9 Compliant Economic Adjustment of Expected Credit Loss Modeling

Journal of Credit Risk, Vol. 16, No. 2, 2020
Number of pages: 38 Posted: 19 Jan 2021
Accepted Paper Series
Mariya Gubareva
University Institute of Lisbon (IUL) - Lisbon Accounting and Business School (ISCAL)
9.

Art-secured Lending: A Risk Analysis Framework

Journal of Credit Risk, Vol. 16, No. 2, 2020
Number of pages: 28 Posted: 19 Jan 2021
Accepted Paper Series
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and CLAPES--UC

Multiple version iconThere are 2 versions of this paper

10.

COVID-19 and the Credit Cycle

Journal of Credit Risk, Vol. 16, No. 2, 2020
Number of pages: 28 Posted: 19 Jan 2021
Accepted Paper Series
Edward I. Altman
New York University (NYU) - Salomon Center

Multiple version iconThere are 2 versions of this paper

11.

A Sensitivity Analysis of the Alpha Factor

Journal of Credit Risk, Vol. 16, No. 1, 2020
Number of pages: 22 Posted: 19 Jan 2021
Accepted Paper Series
Michael Einemann and Michael Kalkbrener
Deutsche Bank AG and Deutsche Bank AG - Risk Management
12.

Current Expected Credit Loss Procyclicality: It Depends on the Model

Journal of Credit Risk, Vol. 16, No. 1, 2020
Number of pages: 22 Posted: 19 Jan 2021
Accepted Paper Series
Joseph Breeden and Maxim Vaskouski
Prescient Models LLC and Belarusian State University
Downloads 1
13.

Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Journal of Credit Risk, Vol. 16, No. 1, 2020
Number of pages: 26 Posted: 19 Jan 2021
Accepted Paper Series
Ioannis Anagnostou, Javier Sanchez, Sumit Sourabh and Drona Kandhai
University of Amsterdam, Banco Santander, University of Amsterdam and University of Amsterdam

Multiple version iconThere are 3 versions of this paper

14.

Art-secured Lending: A Risk Analysis Framework

Journal of Credit Risk, 2020
Number of pages: 27 Posted: 16 Jun 2020
Accepted Paper Series
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and CLAPES--UC

Multiple version iconThere are 2 versions of this paper

15.

Contagious Defaults in a Credit Portfolio: A Bayesian Network Approach

Journal of Credit Risk, Forthcoming
Number of pages: 26 Posted: 24 Feb 2020
Accepted Paper Series
Ioannis Anagnostou, Javier Sanchez, Sumit Sourabh and Drona Kandhai
University of Amsterdam, Banco Santander, University of Amsterdam and University of Amsterdam

Multiple version iconThere are 3 versions of this paper

Downloads 1
16.

Credit Valuation Adjustment Wrong-Way Risk in a Gaussian Copula Model

Journal of Credit Risk, Vol. 15, No. 4, 2019
Number of pages: 16 Posted: 23 Dec 2019
Accepted Paper Series
Kelin Pan and Chandra Khandrika
Citi Internal Audit - Model Risk Management and Citi Internal Audit - Model Risk Management
Downloads 4
17.

Costs of Capital under Credit Risk

Journal of Credit Risk, Vol. 15, No. 4, 2019
Number of pages: 28 Posted: 10 Dec 2019
Accepted Paper Series
Peter Reichling and Anastasiia Zbandut
Otto-von-Guericke University Magdeburg and Otto-von-Guericke-Universität Magdeburg

Multiple version iconThere are 2 versions of this paper

Downloads 1
18.

On Probability of Default and Its Relation to Observed Default Frequency and a Common Factor

Journal of Credit Risk, Vol. 15, No. 3, 2019
Number of pages: 26 Posted: 17 Sep 2019
Accepted Paper Series
Brent Oeyen and Oliver Salazar Celis
Ernst & Young EY and Ernst & Young
Downloads 1
19.

Asset Correlation Estimation for Inhomogeneous Exposure Pools

Journal of Credit Risk, Vol. 15, No. 3, 2019
Number of pages: 20 Posted: 17 Sep 2019
Accepted Paper Series
Christoph Wunderer
Wissenschaftsforderung d. Sparkassenorg. e.V.
Downloads 1
20.

An Efficient Portfolio Loss Model

Journal of Credit Risk, 15(3), 1–19, 2019
Number of pages: 19 Posted: 30 Jul 2019
Accepted Paper Series
Christian Fenger
Danske Bank
Downloads 1
21.

A Statistical Technique to Enhance Application Scorecard Monitoring

Journal of Credit Risk, Vol. 15, No. 2, 2019
Number of pages: 28 Posted: 18 Jun 2019
Accepted Paper Series
Nico Kritzinger and Gary W van Vuuren
North West University and North West University
Downloads 2
22.

A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk

Journal of Credit Risk, Vol. 15, No. 2, 2019
Number of pages: 20 Posted: 18 Jun 2019
Accepted Paper Series
Marcelo Perlin, Marcelo Righi and Tiago Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)

Multiple version iconThere are 2 versions of this paper

Downloads 1
23.

Wrong-Way Risk of Interest Rate Instruments

Journal of Credit Risk, Forthcoming
Number of pages: 23 Posted: 03 Jun 2019
Accepted Paper Series
Ramzi Ben-Abdallah, Michèle Breton and Oussama Marzouk
University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Management Sciences
Downloads 2
24.

The Influence of Firm Efficiency on Agency Credit Ratings

Journal of Credit Risk, Vol. 15, No. 1, 2019
Number of pages: 36 Posted: 21 Mar 2019
Accepted Paper Series
Dafydd Mali and Joon Hyoung Lim
Sheffield Hallam University - Sheffield Business School and Korea University - School of Public Administration
Downloads 1
25.

Calibration and Mapping of Credit Scores by Riding the Cumulative Accuracy Profile

Journal of Credit Risk, Vol. 15, No. 1, 2019
Number of pages: 26 Posted: 21 Mar 2019
Accepted Paper Series
Marco van der Burgt
Nationale Nederlanden Group
Downloads 2
26.

Are Lenders Using Risk-Based Pricing in the Italian Consumer Loan Market? The Effect of the 2008 Crisis

Journal of Credit Risk, 2019
Number of pages: 38 Posted: 23 Feb 2019
Accepted Paper Series
Silvia Magri
Bank of Italy
Downloads 1
27.

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 4
28.

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 (NYU) - Department of Finance and Libera Università degli Studi Sociali (LUISS) Guido Carli - Fondo Interbancario di Tutela dei Depositi and Instituto di Studi Economici
Downloads 2
29.

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
30.

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 Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 3
31.

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
Downloads 1
32.

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

33.

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
34.

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
35.

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 2
36.

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
37.

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
38.

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
39.

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
40.

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
41.

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 CLAPES--UC

Multiple version iconThere are 2 versions of this paper

Downloads 1
42.

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
Graduate University for Advanced Studies (SOKENDAI) - School of Multidisciplinary Sciences and The Institute of Statistical Mathematics
43.

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
44.

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
45.

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
46.

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
47.

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
48.

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, Board of Governors of the Federal Reserve System and CompatibL
Downloads 3
49.

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
50.

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