SSRN Journal of Credit Risk

1.

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

2.

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 1

3.

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

4.

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

5.

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

6.

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

7.

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

Downloads 1

8.

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

9.

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

10.

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

11.

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

12.

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

13.

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

14.

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

15.

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

16.

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

17.

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

18.

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

There are 2 versions of this paper

Downloads 1

19.

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

20.

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

21.

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

22.

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

23.

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

24.

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

25.

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

26.

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

27.

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

28.

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

29.

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)

30.

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)

31.

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

32.

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

33.

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

34.

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

35.

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

36.

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

37.

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)

38.

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

39.

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)

40.

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

41.

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

42.

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

43.

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

44.

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

45.

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

46.

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

There are 2 versions of this paper

47.

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)

48.