REGISTER
SIGN IN
Email
This field is required
Password
This field is required
Sign in
Remember me
Forgot ID or Password?
Register now
- Your Account
- User Home
- Personal Info
- Affiliations
- Subscriptions
- My Papers
- My Briefcase
- Sign out
|
|
||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
|
SSRN eLibrary Statistics:
|
||||||||||||||||||||||||||||||||
SSRN eLibrary Search Results
Journal of Credit Risk
4,017 Total downloads
| Link to this page
Adapting the Basel II Advanced Internal-Ratings-Based Models for International Financial Reporting Standard 9Journal 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
Primary-Firm-Driven Portfolio LossJournal 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
Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random RecoveryJournal 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
Stochastic Loss Given Default and Exposure at Default in a Structural Model of Portfolio Credit RiskJournal 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
Financial Distress Pre-Warning Indicators: A Case Study on Italian Listed CompaniesJournal 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
Rethinking the Margin Period of RiskJournal 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
Creditwatches and Their Impact on Financial MarketsJournal 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
Financial and Nonfinancial Variables As Long-Horizon Predictors of BankruptcyJournal 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
Further Investigation of Parametric Loss Given Default ModelingJournal 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
Modeling the Current Loan-to-Value Structure of Mortgage Pools Without Loan-Specific DataJournal of Credit Risk, Forthcoming Peter Palmroos Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA) Date Posted: September 29, 2016 Working Paper Series
Modeling Joint Defaults in Correlation-Sensitive InstrumentsJournal 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
Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given DefaultJournal 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
The Impact of Loan-to-Value on the Default Rate of Residential Mortgage-Backed SecuritiesJournal 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
Counting Processes for Retail Default ModelingJournal 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
Default Predictors in Credit Scoring: Evidence from France's Retail Banking InstitutionJournal 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
An Analytical Value-at-Risk Approach for a Credit Portfolio with Liquidity Horizon and Portfolio RebalancingJournal 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
Loss Distributions: Computational Efficiency in an Extended FrameworkJournal 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
Are All Collections Equal? The Case of Medical DebtJournal 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
Time Series Models for Credit Default Swap PremiumsJournal of Credit Risk, Vol. 11, No. 3, 2015 Márton Eifert Technische Universität München (TUM) Date Posted: June 16, 2016 Accepted Paper Series
Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default CorrelationJournal 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
Credit Risk: Taking Fluctuating Asset Correlations into AccountJournal 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
The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate DerivativesJournal 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
Default Risk of Money-Market Fund PortfoliosJournal of Credit Risk, Vol. 11, No. 4, 2015 Matulya Bansal Columbia University - Columbia Business School Date Posted: June 15, 2016 Accepted Paper Series
The Robustness of Estimators in Structural Credit Loss DistributionsJournal 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
How Banks’ Capital Ratio and Size Affect the Stability of the Banking System: A Simulation-Based StudyJournal 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
Sovereign Risk and the Pricing of Corporate Credit Default SwapsJournal 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
The Double Default Value-of-the-Firm ModelJournal 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
The Application of Credit Risk Models to Macroeconomic Scenario Analysis and Stress TestingJournal 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
Market Pricing of Credit Linked Notes: The Influence of the Financial CrisisJournal 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
Contingent Credit Default Swaps: Accurate and Approximate PricingJournal 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
A Framework for Market, Credit and Transfer Risk Aggregation and Stress TestingJournal of Credit Risk, Vol. 12, No. 1, 2016 Simone Farinelli Core Dynamics GmbH Date Posted: June 14, 2016 Accepted Paper Series
A Credit Portfolio Framework Under Dependent Risk Parameters: Probability of Default, Loss Given Default and Exposure at DefaultJournal 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
Sovereign Credit Ratings and the New European Union Member StatesJournal 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
A Parametric Approach to Counterparty and Credit RiskJournal 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
Redesigning Ratings: Assessing the Discriminatory Power of Credit Scores Under CensoringJournal 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
Analysis of Credit Portfolio Risk Using Hierarchical Multifactor ModelsJournal 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
Risk Analysis Probability of Default: A Stochastic Simulation ModelJournal 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
The Large Homogeneous Portfolio Approximation with a Two-Factor Gaussian Copula and Random Recovery RateJournal 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
Collateral and Credit Issues in Derivatives PricingJournal 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
Efficient Monte Carlo Counterparty Credit Risk Pricing and MeasurementJournal 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
Asset Correlation of Retail Loans in the Context of the New Basel Capital AccordJournal of Credit Risk, Vol. 10, No. 2, 2014 Pawel Siarka Ernst & Young Date Posted: June 04, 2016 Working Paper Series
A Credit Value Adjustment Scheme for Bank Loan PortfoliosJournal of Credit Risk, Vol. 10, No. 2, 2014 Dror Parnes University of South Florida Date Posted: June 04, 2016 Working Paper Series
Asset Correlation in Residential Mortgage-Backed Security Reference PortfoliosJournal of Credit Risk, Vol. 10, No. 2, 2014 Marco Geidosch Unicredit Bank AG Date Posted: June 04, 2016 Working Paper Series
Usage and Exposures at Default of Corporate Credit Lines: An Empirical StudyJournal 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
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
Modeling the Credit Contagion Channel and Its Consequences Via the Standard Portfolio Credit Risk ModelJournal 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
Dynamic Affordability Assessment: Predicting an Applicant's Ability to Repay Over the Life of the LoanJournal 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
A Bond Consistent Derivative Fair ValueJournal 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 
Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered BondsJournal 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 |
