Journal of Credit Risk

From Journal of Credit Risk
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Fintech lending and firm bankruptcies: Lam Nguyen and Bin Qiu
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies: Jiaming Liu, Ming Jia, Peng Ouyang and Chong Wu
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios: Hansheng Sun and Roy H. Kwon
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm: Tinggui Chen, Hailian Gu, Zhiyu Yang, Jianjun Yang and Bing Wang
Consumer credit card payment dynamics over the economic cycle: Christopher H. Wheeler
Credit portfolio modeling and pricing using the Poisson binomial distribution: Bilgi Yilmaz and Alper Hekimoglu
Random survival forests and Cox regression in loss given default estimation: Aneta Ptak-Chmielewska and PaweÅ‚ Kopciuszewski
How do credit rating agencies and bond investors react to credit guarantees? Evidence from Chinaâ€™s municipal corporate bond market: Wei Zhang, Mu Tong, Yahua Yin and Jingjing Shang
Credit risk management: a systematic literature review and bibliometric analysis: Payal Kedia and Lokanath Mishra
Characteristics of student loan credit recovery: evidence from a micro-level data set: Hyeongjun Kim, Hoon Cho and Doojin Ryu
Credit contagion risk in German auto loans: Arved Fenner and Steffen Vollmar
Tail sensitivity of stocks to carbon risk: a sectoral analysis: Laura Garcia-Jorcano, Juan-Angel Jimenez-Martin and Maria-Dolores Robles
Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance: Claudia Cannas, Laura Pellegrini and Andrea Roncella
The role of a green factor in stock prices: when Fama and French go green: Ricardo Gimeno and Clara I. GonzÃ¡lez
Understanding and predicting systemic corporate distress: a machine-learning approach: Burcu Hacibedel and Ritong Qu
Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis: Christoph M. Puetter and Stefano Renzitti
Pricing default risk in stochastic time: Antti J. Harju
Default forecasting based on a novel group feature selection method for imbalanced data: Guotai Chi, Jin Xing and Ancheng Pan
Benchmarking machine learning models to predict corporate bankruptcy: Emmanuel Alanis, Sudheer Chava and Agam Shah
Small and medium-sized enterprisesâ€™ time to default: an analysis using an improved mixture cure model with time-varying covariates: Qingli Dong and Guotai Chi
Instabilities in Cox proportional hazards models in credit risk: Joseph L. Breeden, Anthony Bellotti and Yevgeniya Leonova
Banking on personality: psychometrics and consumer creditworthiness: Saul Fine
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks: Arsh Anand, Bart Baesens and Rosanne VanpÃ©e
Managerial connections and corporate risk-taking: evidence from the Great Recession: N. K. Chidambaran and Stefano Manfredonia
Climate-policy-relevant sectors and credit risk: Marcin Borsuk
Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling: Jie Sun, Mingyang Sun, Mengru Zhao and Yingying Du
Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of default: Jan Henrik Wosnitza
Dynamic initial margin estimation based on quantiles of Johnson distributions: Thomas A. McWalter, JÃ¶rg Kienitz, Nikolai Nowaczyk, Ralph Rudd and Sarp K. Acar
Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities: Kevin Jakob
Sovereign probabilities of default in the euro area: Rainer Jobst
Risks of long-term auto loans: Zhengfeng Guo, Yan Zhang and Xinlei Zhao
An effective credit rating method for corporate entities using machine learning: Hansheng Sun, Roy H. Kwon, Binbin Dai and Pubudu Premawardena
Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations: JiÅ™Ã Witzany
Generalized additive modeling of the credit risk of Korean personal bank loans: Young-Ah Kim, Peter G Moffatt and Simon A Peters
Stressed distance to default and default risk: Nan Guo and LIngfei Li
A three-factor hazard rate model for single-name credit default swap pricing: Yangfan Zhong and Yanhui Mi
Repo haircuts and economic capital: a theory of repo pricing: Wujiang Lou
Mertonâ€™s model with recovery risk: Albert Cohen and Nick Costanzino
How a credit run affects asset correlation: Christopher Paulus Imanto
The loss optimization of loan recovery decision times using forecast cashflows: Arno Botha, Conrad Beyers and Pieter de Villiers
On comprehensive balance sheet stress testing and net interest income risk attribution: Jimmy Skoglund and Wei Chen
A structural credit risk model based on purchase order information: Suguru Yamanaka and Misaki Kinoshita
Bank-sourced transition matrixes: are banksâ€™ internal credit risk estimates Markovian?: Barbora Å tÄ›pÃ¡nkovÃ¡
Covid-19 and the credit cycle: 2020 revisited and 2021 outlook: Edward I Altman
Customer churn prediction for commercial banks using customer-value-weighted machine learning models: Zongxiao Wu and Zhiyong Li
Does economic policy uncertainty exacerbate corporate financial distress risk?: Jie Sun, Fangyuan Yin, Edward I Altman and Lewis Makosa
Incorporating small-sample defaults history in loss given default models: Aneta Ptak-Chmielewska and PaweÅ‚ Kopciuszewski
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?: Krzysztof Gajewski and Å ukasz Kurowski
Forecasting consumer credit recovery failure: classification approaches: Hyeongjun Kim, Hoon Cho and Doojin Ryu
A survey of machine learning in credit risk: Joseph L. Breeden
An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing: Heng Z. Chen
Review of credit risk and credit scoring models based on computing paradigms in financial institutions: Deepika Sharma, Ashutosh Vashistha and Manoj K. Gupta
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR: Marta KaraÅ› and Witold Szczepaniak
Explaining credit ratings through a perpetual-debt structural model: Gaia Barone
Ensemble methods for credit scoring of Chinese peer-to-peer loans: Wei Cao, Yun He, Wenjun Wang, Weidong Zhu and Yves Demazeau
Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?: Gabriele Sabato, Edward I Altman and Galina Andreeva
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios: JosÃ© Canals-CerdÃ¡
The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector: Daniela Lazo, Raffaella Calabrese and CristiÃ¡n Bravo
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted: Erik Durbin and Charles Romeo
Bankcard performance during the Great Recession: a consumer-level analysis: Paul Calem, Julapa Jagtiani and Loretta Mester
Supervisory bank risk early warning modeling: an examinerâ€™s first line of defense: Christopher C. Henderson, Shaohui Jia and Charles Mattioli
The impact of data aggregation and risk attributes on stress testing models of mortgage default: Feng Li and Yan Zhang
Stress testing household debt: Neil Bhutta, Jesse Bricker, Lisa Dettling, Jimmy Kelliher and Steven Laufer
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options: Michael Kratochwil
Corporate default risk modeling under distressed economic and financial conditions in a developing economy: Frank Ranganai Matenda, Mabutho Sibanda, Eriyoti Chikodza and Victor Gumbo
A joint model of failures and credit ratings: Rainer Hirk, Laura Vana, Kurt Hornik and Stefan Pichler
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives: Nneka Umeorah, Phillip Mashele and Matthias Ehrhardt
IFRS 9 compliant economic adjustment of expected credit loss modeling: Mariya Gubareva
Covid-19 and the credit cycle: Edward I Altman
Art-secured lending: a risk analysis framework: Arturo Cifuentes and Ventura Charlin
Current expected credit loss procyclicality: it depends on the model: Joseph L. Breeden and Maxim Vaskouski
A sensitivity analysis of the alpha factor: Michael Einemann and Michael Kalkbrener
Contagious defaults in a credit portfolio: a Bayesian network approach: Ioannis Anagnostou, Javier Sanchez Rivero, Sumit Sourabh and Drona Kandhai
Costs of capital under credit risk: Peter Reichling and Anastasiia Zbandut
Basel risk weight functions and forward-looking expected credit losses: Vlachostergios Eleftherios
Credit valuation adjustment wrong-way risk in a Gaussian copula model: Kelin Pan and Chandra Khandrika
Asset correlation estimation for inhomogeneous exposure pools: Christoph Wunderer
On probability of default and its relation to observed default frequency and a common factor: Brent Oeyen and Oliver Salazar Celis
An efficient portfolio loss model: Christian Fenger
A consumer credit risk structural model based on affordability: balance at risk: Marcelo Perlin, Marcelo Brutti Righi and Tiago P. Filomena
A statistical technique to enhance application scorecard monitoring: Nico Kritzinger and Gary van Vuuren
Wrong-way risk of interest rate instruments: Ramzi Ben-Abdallah, MichÃ¨le Breton and Oussama Marzouk
Calibration and mapping of credit scores by riding the cumulative accuracy profile: Marco van der Burgt
The influence of firm efficiency on agency credit ratings: Dafydd Mali and Hyoungjoo Lim
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis: Silvia Magri
Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum: Robert Engle and Cristiano Zazzara
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies: Edward I Altman
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis: Rafael Schiozer, Frederico Mourad and Ramon S. Vilarins
Calculating capital charges for sector concentration risk: Cornelius Kurtz, Eva LÃ¼tkebohmert and Julian Sester
An empirical study on credit risk management: the case of nonbanking financial companies: Sunita Mall
Default contagion among credit modalities: evidence from Brazilian data: Michel Alexandre, Giovani A. S. Brito and Theo C. Martins
A new model for bank loan loss given default by leveraging time to recovery: Heng Z. Chen
Modeling dependent risk factors with CreditRisk+: Xiaohang Zhang, SuBang Choe, Ji Zhu and Jill Bewick
Credit default prediction using a support vector machine and a probabilistic neural network: Mohammad Zoynul Abedin, Chi Guotai, Sisira Colombage and Fahmida - E - Moula
Moment estimators for autocorrelated time series and their application to default correlations: Christoph Frei and Marcus Wunsch
A copula approach to credit valuation adjustment for swaps under wrong-way risk: Jakub ÄŒernÃ½ and JiÅ™Ã Witzany
Nonlinear relationships in a logistic model of default for a high-default installment portfolio: Christian Lohmann and Thorsten Ohliger
Optimal investment and financing with macroeconomic risk and loan guarantees: Xiaolin Tang and Zhaojun Yang
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default: Jakob Maciag and Matthias LÃ¶derbusch
Issuer bias in corporate ratings toward financially constrained firms: Mohammad (Nazmul) Hasan, Nikunj Kapadia and Akhtar Siddique
Addressing probationary period within a competing risks survival model for retail mortgage loss given default: Richard M. Wood and David Powell
Reliability and agreement of credit ratings in the Mexican fixed-income market: Ventura Charlin and Arturo Cifuentes
When banks venture beyond home turf: consequences for loan performance: Yuta Tanoue and Satoshi Yamashita
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9: Peter Miu and Bogie Ozdemir
Primary-firm-driven portfolio loss: Stuart M Turnbull
Portfolio credit risk model with extremal dependence of defaults and random recovery: Jong-June Jeon, Sunggon Kim and Yonghee Lee
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk: Florian Kaposty, Matthias LÃ¶derbusch and Jakob Maciag
Financial distress pre-warning indicators: a case study on Italian listed companies: Francesco De Luca and Enrica Meschieri
Rethinking the margin period of risk: Leif Andersen, Alexander Sokol and Michael Pykhtin
Creditwatches and their impact on financial markets: Florian Kiesel
Benchmarking the loss given default parameter for mortgage loan portfolios under stress: Christian Greve and Lutz Hahnenstein
Financial and nonfinancial variables as long-horizon predictors of bankruptcy: MaÅ‚gorzata Iwanicz-Drozdowska, Erkki K. Laitinen, Arto Suvas and Edward I Altman
Further investigation of parametric loss given default modeling: Phillip Li, Min Qi, Xiaofei Zhang and Xinlei Zhao
Modeling the current loan-to-value structure of mortgage pools without loan-specific data: Peter Palmroos
Modeling corporate customersâ€™ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits: Parastoo Rafiee Vahid and Abbas Ahmadi
Modeling joint defaults in correlation-sensitive instruments: Juliusz JabÅ‚ecki and Dariusz GÄ…tarek
Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default: Han Sheng Sun and Zi Jin
The impact of loan-to-value on the default rate of residential mortgage-backed securities: Luis Otero GonzÃ¡lez, Pablo DurÃ¡n Santomil, Milagros Vivel BÃºa and RubÃ©n Lado Sestayo
The application of credit risk models to macroeconomic scenario analysis and stress testing: Jimmy Skoglund and Wei Chen
A bond consistent derivative fair value: Johan Gunnesson and Alberto FernÃ¡ndez MuÃ±oz de Morales
The double default value-of-the-firm model: C. Gourieroux and Alain Monfort
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds: Dirk Tasche
A framework for market, credit and transfer risk aggregation and stress testing: Simone Farinelli
Market pricing of credit linked notes: the influence of the financial crisis: Matthias Walter, BjÃ¶rn HÃ¤ckel and Andreas Rathgeber
Contingent credit default swaps: accurate and approximate pricing: Christian Koziol and Thomas SchÃ¶n
A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default: Johanna Eckert, Kevin Jakob and Matthias Fischer
Are all collections equal? The case of medical debt: Kenneth P. Brevoort and Michelle Kambara
Default risk of money-market fund portfolios: Matulya Bansal
Loss distributions: computational efficiency in an extended framework: Daniel H. Stahl
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing: Haohan Huang, Eugene Wang, Huaxiong Huang and Yong Wang
Credit risk: taking fluctuating asset correlations into account: Thilo A. Schmitt and Rudi SchÃ¤fer and Thomas Guhr
Counting processes for retail default modeling: Nicholas M. Kiefer and C. Erik Larson
Time series models for credit default swap premiums: MÃ¡rton Eifert
Hermite approximations in credit portfolio modeling with probability of defaultâ€“loss given default correlation: Anthony Owen and James Bryers and Francois Buet-Golfouse
The robustness of estimators in structural credit loss distributions: Enrique Batiz-Zuk and George Christodoulakis and Ser-Huang Poon
Default predictors in credit scoring: evidence from Franceâ€™s retail banking institution: Ha-Thu Nguyen
Systematic risk and yield premiums in the bond market: Liang Fu and Austin Murphy and Terry Benzschawel
The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives: Geoffrey R. Harris and Tao L. Wu and Jiarui Yang
Sovereign risk and the pricing of corporate credit default swaps: Matthias Haerri and Stefan Morkoetter and Simone Westerfeld
How banksâ€™ capital ratio and size affect the stability of the banking system: a simulation-based study: Mitja Steinbacher and Matjaz Steinbacher
Forecasting credit card portfolio losses in the Great Recession: a study in model risk: JosÃ© J. Canals-CerdÃ¡ and Sougata Kerr
Sovereign credit ratings and the new European Union member states: Nick Wilson and Pavol Ochotnicky and Marek Kacer
A parametric approach to counterparty and credit risk: Giuseppe Orlando and Maximilian HÃ¤rtel
Redesigning ratings: assessing the discriminatory power of credit scores under censoring: Holger Kraft and Gerald Kroisandt and Marlene MÃ¼ller
Analysis of credit portfolio risk using hierarchical multifactor models: Pak-Wing Fok and Xiuling Yan and Guangming Yao
Risk analysis probability of default: a stochastic simulation model: Giuseppe Montesi and Giovanni Papiro
The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate: Geon Ho Choe and Soon Won Kwon
Efficient Monte Carlo counterparty credit risk pricing and measurement: Samim Ghamami and Bo Zhang
Collateral and credit issues in derivatives pricing: John Hull and Alan White
Asset correlation in residential mortgage-backed security reference portfolios: Marco Geidosch
Estimation of risk measures for large credit portfolios: Johannes Hauptmann and Pablo Olivares and Rudi Zagst
A credit value adjustment scheme for bank loan portfolios: Dror Parnes
Asset correlation of retail loans in the context of the new Basel Capital Accord: Pawel Siarka
Usage and exposures at default of corporate credit lines: an empirical study: Janet Yinqing Zhao and Douglas W. Dwyer and Jing Zhang
Backtesting counterparty risk: how good is your model?: Ignacio Ruiz
Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model: Yongwoong Lee and Ser-Huang Poon
Dynamic affordability assessment: predicting an applicantâ€™s ability to repay over the life of the loan: Katarzyna Bijak and Lyn C. Thomas and Christophe Mues
Valuation differences between credit default swap and corporate bond markets: Oliver Entrop and Richard Schiemert and Marco Wilkens
The art of probability-of-default curve calibration: Dirk Tasche
The effect of training set selection when predicting defaulting small and medium-sized enterprises with unbalanced data: Giovanna Menardi and Nicola Torelli
Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor: Xiaolin Luo and Pavel V. Shevchenko
Sample selection bias in acquisition credit scoring models: an evaluation of the supplemental-data approach: Irina Barakova and Dennis Glennon and Ajay Palvia
Recovery rate risk and credit spreads in a hybrid credit risk model: Mathieu Boudreault and GeneviÃ¨ve Gauthier and Tommy Thomassin
Pricing of contingent convertibles under smile conform models: JosÃ© Manuel Corcuera, Jan de Spiegeleer, Albert Ferreiro-Castilla, Andreas E. Kyprianou and Dilip B. Madan and Wim Schoutens
Analytical solutions for the expected loss of a collateralized loan: a square root intensity process negatively correlated with collateral value: Satoshi Yamashita and ToshinaoYoshiba
Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio: Rafael Rodrigues Troiani
A clusterized copula-based probability distribution of a counting variable for high-dimensional problems: Enrico Bernardi and Silvia Romagnoli
A nonparametric approach to incorporating incomplete workouts into loss given default estimates: Grazia Rapisarda and David Echeverry
Counterparty risk subject to additional termination event clauses: Richard Zhou
Debt structure, market value of firm and recovery rate: Min Qi and Xinlei Zhao
Deriving consensus ratings of the big three rating agencies: Bettina GrÃ¼n, Paul Hofmarcher, Kurt Hornik and Christoph Leitner and Christoph Leitner
The survival analysis approach in Basel II credit risk management: modeling danger rates in the loss given default parameter: Stefano Bonini and Giuliana Caivano
Credit default swap spreads, fair-value spreads and interest rate dynamics: Andy Jia-Yuh Yeh
Optimal structuring of collateralized debt obligation contracts: an optimization approach: Alexander Veremyev and Peter Tsyurmasto and Stan Uryasev
Bounds for rating override rates: Dirk Tasche
Calibration of structural and reduced-form recovery models: Alexander F. R. Koivusalo and Rudi SchÃ¤fer
Addendum to â€œPartial differential equation representations of derivatives with bilateral counterparty risk and funding costsâ€: Christoph Burgard and Mats Kjaer
Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models: Daniel W.C. Miao and Ben M. Hambly
An asset drop model as an alternative to the treatment of double defaults within the Basel framework: Sebastian Ebert and Eva LÃ¼tkebohmert
A survey of loan credit default swap pricing models: Michael Ong and Dan Li and David Lu
Collateralized credit default swaps and default dependence: implications for the central counterparties: Masaaki Fujii and Akihiko Takahashi
Impact of factor models on portfolio risk measures: a structural approach: Marcos Escobar Anel and Tobias Frielingsdorf and Rudi Zagst
Two models of stochastic loss given default: Simone Farinelli and Mykhaylo Shkolnikov
Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure: Binh Dao and Monique Jeanblanc
Modeling exposure at default and loss given default: empirical approaches and technical implementation: Bill Huajian Yang and Mykola Tkachenko
Credit loss and systematic loss given default: Jon Frye and Michael Jacobs Jr.
New risk analysis tools with accounting changes: adjusted Z-score: Seong Cho and Liang Fu and Yin Yu
The impact of counterparty risk on credit default swap pricing dynamics: Stefan Morkoetter and Johanna Pleus and Simone Westerfeld
Pricing corporate loans under the risk-neutral measure: Terry Benzschawel and Julio DaGraca and Cheng-Yen Lee
Approximating default probabilities with soft information: Dror Parnes
Granularity in a qualitative factor model: Christian Gourieroux and Alain Monfort
Simulation and estimation of loss given default: Stefan Hlawatsch and Sebastian Ostrowski
A generalized credit value adjustment: Mats Kjaer
On the estimation of credit exposures using regression-based Monte Carlo simulation: Robert SchÃ¶ftner
Book review: Measuring and managing credit risk: Michel Crouhy
A technical note on the allocation of risk capital in credit: Jan W. Kwiatkowski
Tests of the performance of structural models in bankruptcy prediction: Frank J. Fabozzi, Ren-Raw Chen, Shing-Yang Hu and Ging-Ging Pan
The credit crunch of 2007: what went wrong? Why? What lessons can be learned?: John C. Hull
Credit migration risk modeling: Andreas Andersson and Paolo Vanini
An extended CreditRisk+ framework for portfolio credit risk management: Chulwoo Han and Jangkoo Kang
Risk-neutral correlations in the pricing and hedging of basket credit derivatives: Michael B. Walker
Book Review: An Introduction to Credit Risk Modeling: Greg M. Gupton
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation: FrÃ©dÃ©ric D. Vrins
Recovery swaps: Arthur M. Berd
A multiname first-passage model for credit risk: Don L. McLeish and Adam Metzler
The valuation of correlation-dependent credit derivatives using a structural model: John Hull, Mirela Predescu and Alan White
Credit value adjustment for credit default swaps via the structural default model: Alexander Lipton and Artur Sepp
An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives: Igor Halperin
Transfer risk under Basel Pillar 1: Amit Agarwal, Paul Harrald, YinYee Kan and Peter Thompson
Break on through to the single side: Dilip B. Madan and Wim Schoutens
An evaluation of the base correlation framework for synthetic CDOs: SÃ¸ren Willemann
Correlation and asset correlation in the structural portfolio model: Jon Frye
A statistical modeling approach to building an expert credit risk rating system: Rasmus Waagepetersen
Asset correlations and credit portfolio risk: an empirical analysis: Klaus Duellmann, Martin Scheicher and Christian Schmieder
On pricing risky loans and collateralized fund obligations: Ernst Eberlein, Helyette Geman and Dilip B. Madan
Market pricing of credit-linked notes: The case of retail structured products in Germany: Andreas Rathgeber and Yun Wang
Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs: Christoph Burgard and Mats Kjaer
Problems & Solutions: Financially Motivated Model Performance Measures: The Journal of Credit Risk
Multi-year dynamics for forecasting economic and regulatory capital in banking: Daniel RÃ¶sch and Harald Scheule
Treatment of double default effects within the granularity adjustment for Basel II: Sebastian Ebert and Eva LÃ¼tkebohmert
Modeling multi-period corporate default probability when hazard ratios decay: Jinggang Huang and Craig Friedman
Valuing LCDS cancelability: Terry Benzschawel, Julio DaGraca, Abhinav Kamra and Joe Yu
Generalized beta regression models for random loss-given-default: Xinzheng Huang and Cornelis W. Oosterlee
A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios: Trond Reitan and Kjersti Aas
Pricing constant maturity credit default swaps under jump: Henrik JÃ¶nsson and Wim Schoutens
Problems & Solutions: Probabilities of Default: Michael Ong
Modeling credit spreads with the Cheyette model and its application to credit default swaptions: Kalina Natcheva-Acar, Sarp Kaya Acar and Martin Krekel
Better ingredients: Christopher Finger and Robert Stamicar
Issues in the pricing of synthetic CDOs: Christopher C. Finger
Measuring and managing risk in innovative financial instruments: Stuart M. Turnbull
A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds: Tomasz R. Bielecki, Andrea Vidozzi and Luca Vidozzi
Bootstrapping default probability curves: Lawrence S. J. Luo
Instant default, upfront concession and CDS index basis: Haiyun Zhang
Is credit risk really higher in Islamic banks?: Aniss Boumediene
Maturity adjustments under asymptotic single risk factor models: a comparative analysis: Eric McCoy
Balance sheet exposures leading towards the credit crunch in global investment banks: Omar Masood
Lead-lag relationships and rating convergence among credit rating agencies: Andre GÃ¼ttler
Bond prices, default probabilities and risk premiums: John Hull, Mirela Predescu and Alan White
Credit default model for a dynamically changing economy: Patrik Andersson
CDO pricing with expected loss parametric interpolation: Guillaume Bernis
Valuing CDOs of bespoke portfolios with implied multi-factor models: Dan Rosen and David Saunders
The re-emergence of distressed exchanges in corporate restructurings: Edward I. Altman and Brenda Karlin
The systematic and idiosyncratic modules of bankruptcy risk: Dror Parnes
From actual to risk-neutral default probabilities: Merton and beyond: Tobias Berg
Development and validation of credit scoring models: Dennis Glennon, Nicholas M. Kiefer, C. Erik Larson and Hwan-sik Choi
CDO pricing with factor models: survey and comments: Leif Andersen and Jakob Sidenius
Problems & Solutions: Recovery Swaps and CDO Deltas: Michael Ong
Credit default swap trees: Ridha Mahfoudhi
Toward a clear understanding of the systemic risks of large institutions: Jeffrey Rosenberg
An introduction to pricing correlation products using a pair-wise correlation matrix: Sam Whitehill
Approximating independent loss distributions with an adjusted binomial distribution: Dominic Oâ€™Kane
The value of non-financial information in SME risk management: Edward I. Altman, Gabriele Sabato and Nicholas Wilson
An empirical implementation of CreditGrades: Andy Jia-Yuh Yeh
An approximation for credit portfolio losses: RÃ¼diger Frey, Monika Popp and Stefan Weber
Pricing counterparty risk at the trade level and credit valuation adjustment allocations: Michael Pykhtin and Dan Rosen
Book Review: Credit Risk Modeling: Theory and Applications: Donald R. van Deventer
Modelling sector correlations with CreditRisk+: The common background vector model: Matthias Fischer and Christian Dietz
Selecting credit portfolios for collateralized loan obligation transactions: a heuristic algorithm: Simone Westerfeld and Frithjof Weber
Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach: Alexander Herbertsson
A correlation estimation method for CDO equity: Jeffrey Prince
Modeling basket credit default swaps with default contagion: Helen Haworth and Christoph Reisinger
On recovery and intensity's correlation: a new class of credit risk models: Raquel Gaspar and Irina Slinko
Underwriting versus economy: a new approach to decomposing mortgage losses: Ashish Das and Roger M. Stein
Accurate allocation of risk capital in credit portfolios: Jan W. Kwiatkowski and D. James Burridge
Benchmarking the incremental risk charge: Christopher C. Finger
Corporate bond defaults are consistent with conditional independence: Florian Kramer and Gunter LÃ¶ffler
Credit spreads explained: Dominic Oâ€™Kane and Saurav Sen
Modeling credit exposure for collateralized counterparties: Michael Pykhtin
Problems & Solutions: Michael Ong
A note on the survival probability in CreditGrades: RÃ¼diger Kiesel and Luitgard A. M. Veraart
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model: Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Extracting systematic factors in a continuous-time credit migration model: Harley Thompson and Jonathan Harris
Estimating EAD for retail exposures for Basel II purposes: Vytautas Valvonis
An improved multivariate Markov chain model for credit risk: Wai-Ki Ching, Tak-Kuen Siu, Li-min Li, Hao Jiang and Tang Li
Pricing and hedging collateralized loan obligations with implied factor models: Jovan Nedeljkovic, Dan Rosen and David Saunders
Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans: Dennis Glennon and Peter Nigro
Tail-risk management: an investor's perspective: Vineer Bhansali
Credit rating accuracy and incentives: Robert Jarrow and Liheng Xu
Analytic calculation of conditional default statistics and risk contributions using the Ensemble method: Kevin E. Thompson and Alistair McLeod
Expected loss and fair value over the credit cycle: Daniel Philps and Solomon Peters
Measuring sectoral diversification in an asymptotic multifactor framework: Dirk Tasche
Credit portfolio risk and probability of default confidence sets through the business cycle: Stefan TrÃ¼ck* and Svetlozar T. Rachev
CDO rating methodology: some thoughts on model risk and its implications: Ingo Fender and John Kiff
Beyond the Gaussian copula: stochastic and local correlation: X. Burtschell and J. Gregory and J.-P. Laurent
Linear and non-linear credit scoring by combining logistic regression and support vector machines: Tony Van Gestel, Bart Baesens, Peter Van Dijcke and Johan A. K. Suykens and Joao Garcia
Hedging of basket credit derivatives in credit default swap market: Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski
Affine Markov chain model of multifirm credit migration: T. R. Hurd and A. Kuznetsov
Capital structure arbitrage and market timing under uncertainty and trading noise: Jorge R. Sobehart and Sean C. Keenan
Extensions to the Gaussian copula: random recovery and random factor loadings: Leif Andersen and Jakob Sidenius
The pricing implications of counterparty risk for non-linear credit products: Stuart M. Turnbull
Merton's model, credit risk and volatility skews: John C. Hull, Izzy Nelken and Alan D. White
Validation of credit rating systems using multi-rater information: Kurt Hornik, Rainer Jankowitsch, Manuel Lingo, Stefan Pichler and Gerhard Winkler
Credit default swaps with counterparty risk: a calibrated Markov model: Michael B. Walker*
Default and recovery rates of Asia-Pacific corporate bond issuers, 1990â€“2003: Praveen Varma
Portfolio losses in factor models: term structures and intertemporal loss dependence: Leif Andersen
Practical and theoretical challenges in validating Basel parameters: key learnings from the experience of a Canadian bank: Peter Miu and Bogie Ozdemir
Generalized maximum expected utility models for default risk: a comparison of models with different dependence structures: Stephan HÃ¶cht and Rudi Zagst
Correlation between default events and loss given default and downturn loss given default in Basel II: Zailong Wan and Ashish Dev
Adjusting corporate default rates for rating withdrawals: Richard Cantor and David T. Hamilton
Dependent credit migrations: Alexander J. McNeil and Jonathan P. Wendin
Default intensity and expected recovery of Japanese banks and the government: new evidence from the CDS market: Yoichi Ueno and Naohiko Baba
Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations: Peter Miu and Bogie Ozdemir
Computing the credit loss distribution in the Gaussian copula model: a comparison of methods: Paul Glasserman and Jesus Ruiz-Mata
Financially motivated model performance measures: Craig Friedman and Sven Sandow
The underlying dynamics of credit correlations: Arthur Berd, Robert Engle and Artem Voronov
A model of corporate bond pricing with liquidity and marketability risk: Pierre Tychon and Vincent Vannetelbosch
Systematic and idiosyncratic risk in syndicated loan portfolios: Erik Heitfield, Steve Burton and Souphala Chomsisengphet
Incorporating equity derivatives into the CreditGrades model: Robert Stamicar* and Christopher C. Finger*
Benchmarking low-default portfolios to third-party ratings: Carsten Franz and Claudia Lawrenz
On the relationship between credit rating announcements and credit default swap spreads for European reference entities: Thorsten Lehnert and Frederick Neske
Private firm default probabilities via statistical learning theory and utility maximization: Xuelong Zhou, Jinggang Huang, Craig Friedman, Robert Cangemi and Sven Sandow
Fitting the CDO correlation skew: a tractable structural jump-diffusion model: SÃ¸ren Willemann
Markovian credit transition probabilities under inequality constraints: the US portfolio 1984â€“2004: George A. Christodoulakis
A simple multifactor "factor adjustment" for the treatment of credit capital diversification: Juan Carlos Garcia Cespedes, Juan Antonio de Juan Herrero, Alex Kreinin and Dan Rosen
Firm value, diversified capital assets, and credit risk: towards a theory of default correlation: Willi Semmler, Lucas Bernard and Lars GrÃ¼ne
Forwards and European options on CDO tranches: John Hull and Alan White
Modeling exposure at default, credit conversion factors and the Basel II Accord: Ross Taplin and Huong Minh To and Jarrad Hee
Credit risk concentrations under stress: Gabriel Bonti, Michael Kalkbrener, Christopher Lotz and Gerhard Stahl
Parameterizing credit risk models: Alfred Hamerle and Daniel RÃ¶sch
Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study: Xinzheng Huang, Cornelis W. Oosterlee and MÃ¢cÃ© Mesters
Credit and basket default swaps: Dilip B. Madan, Michael Konikov and Mircea Marinescu

Journal of Credit Risk

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