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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
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 2,029
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
University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg
Downloads 879
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
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 439
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
Federal Reserve Bank of Philadelphia and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 362
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
ISEG and Cemapre, Universidade de Lisboa and Swedbank, Group Risk Control
Downloads 195
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
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 152
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
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 80
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
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
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
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
University of Seoul, University of Seoul and University of Seoul
Downloads 1
12.

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
V. C. Consultants and Finance & Economics Division, Columbia University

Multiple version iconThere are 2 versions of this paper

Downloads 1
13.

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
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1
14.

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
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and zeb.rolfes.schierenbeck.associates GmbH
Downloads 1
15.

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
BBVA - Market Quantitative Risk Development and Banco Santander

Multiple version iconThere are 2 versions of this paper

16.

A Conditional Valuation Approach for Path-Dependent Instruments

Journal of Credit Risk, 2005
Posted: 16 Jan 2008
Accepted Paper Series
Banc of America Merrill Lynch and Morgan Stanley

Multiple version iconThere are 2 versions of this paper

17.

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
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Augsburg and Friedrich-Alexander Universität (FAU)
18.

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
University of South Florida
19.

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
Core Dynamics GmbH

Multiple version iconThere are 2 versions of this paper

20.

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
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

21.

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
Lloyds Banking Group and Principality Building Society
22.

Adjusting Corporate Default Rates for Rating Withdrawals

Journal of Credit Risk, Vol. 3, No. 2, 2007
Posted: 22 Jun 2007
Accepted Paper Series
Moody's Analytics and Moody's Investors Service
23.

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
York University, RBC Financial Group, York University and Everbright Securities Company Limited
24.

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
University of Delaware - Department of Mathematics, University of Delaware and Clarkson University
25.

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
Consumer Financial Protection Bureau and Consumer Financial Protection Bureau
26.

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
Unicredit Bank AG
27.

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
Ernst & Young
28.

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
iRuiz Consulting
29.

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
Talanx Asset Management GmbH and DZ Bank AG
30.

Better Ingredients

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 14 Nov 2005
Accepted Paper Series
RiskMetrics Group - MSCI and RiskMetrics Group
31.

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
Bank of America Merrill Lynch and Independent
32.

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
Bank for International Settlements (BIS) and International Monetary Fund

Multiple version iconThere are 2 versions of this paper

33.

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
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

34.

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
University of Tübingen and University of Tübingen
35.

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
Cornell University - Department of Economics and Promontory Financial Group
36.

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
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Texas Tech University
37.

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
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
38.

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
Darmstadt University of Technology
39.

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
Moody's Investors Service
40.

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
University Paris West Nanterre La Defense
41.

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
Columbia University - Columbia Business School
42.

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
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

43.

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
Global Risk Management Network, LLC and Wells Fargo Bank
44.

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
Mondrian Investment Partners and Mondrian Investment Partners
45.

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
Bank of America Merrill Lynch and Independent
46.

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
University G d'Annunzio di Chieti-Pescara and University “G. d’Annunzio” Chieti–Pescara
47.

Further Investigation of Parametric Loss Given Default Modeling

Journal of Credit Risk, Forthcoming
Number of pages: 31 Posted: 18 Oct 2016
Working Paper Series
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)
48.

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
Barclays, Barclays and Barclays
49.

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
Fakulteta za poslovne vede and Kiel Institute for the World Economy
50.

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
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