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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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Ampega Asset Management GmbH and DZ Bank AG