SSRN Journal of Credit Risk

1.

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

There are 2 versions of this paper

Downloads 1

2.

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 1

3.

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

There are 2 versions of this paper

Downloads 1

4.

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

5.

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

6.

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

7.

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

8.

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)

There are 2 versions of this paper

Downloads 1

9.

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 1

10.

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

11.

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

12.

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

13.

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 3

14.

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

Downloads 2

15.

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

16.

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

17.

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

18.

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

There are 2 versions of this paper

19.

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

20.

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

There are 2 versions of this paper

Downloads 1

21.

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

22.

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

23.

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

There are 2 versions of this paper

Downloads 2

24.

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

25.

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

26.

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

27.

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

There are 2 versions of this paper

Downloads 1

28.

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

29.

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

30.

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

31.

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

32.

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

33.

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

34.

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

35.

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

36.

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

37.

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

38.

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)

39.

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)

40.

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

41.

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

42.

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 Coruña - Facultad de Ciencias Economicas y Empresariales and Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies

43.