Global Credit Review (GCR)

2012 - 2016

Current editor(s): Jin-Chuan Duan

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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Message from the Editor pp. iii-iv: Jin-Chuan Duan
Default Econometrics and Default Application pp. 1-9: Xuyuan Liu and Weimin Miao
International Association of Credit Portfolio Managers Principles and Practices: 2015 pp. 11-20: Som-lok Leung, Marcia Banks and Juliane Saary-Littman
Time-Varying Rating Standards and the Distorted Incentives of Credit Rating Agencies pp. 21-39: Tao Wang
The Small and Medium Enterprises and the Credit Reporting System in China pp. 41-48: Di Bu and Yin Liao
NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1 pp. 49-132: Staff Article Rmi

Message from the Editor pp. iii-iv: Jin-Chuan Duan
Risk Appetite Frameworks: Insights into Evolving Global Practices pp. 1-17: Michael Alix, Shyam Venkat, Zubin Mogul, Som-lok Leung, Marcia A. Banks and Juliane Saary-Littman
The Liquidity Regimes and the Prepayment Option of a Corporate Loan in the Finite Horizon Case pp. 19-33: Timothee Papin and Gabriel Turinici
Structural Market-Based Top–Down Stress Tests of the Banking System pp. 35-48: Jorge Chan-Lau
Examining the Validity of Credit Ratings Assigned to Credit Derivatives pp. 49-58: Chih-Wei Lee and Cheng-Kun Kuo
Review of George M von Furstenberg's Contingent Convertibles — From an Industry Perspective pp. 59-66: Jeffrey R. Bohn
Review of George M. von Furstenberg's Contingent Convertibles — From an Academic Perspective pp. 67-76: Jussi Keppo and Yuan Xuchuan
The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review pp. 77-97: Kuo-Wei Hsiao and Zhengyi Jiang
Eurozone Debt Crisis and Regulation of Credit Rating Agencies pp. 99-111: Deena Zaidi
NUS-RMI Credit Research Initiative Technical Report Version: 2015 Update 1 pp. 113-203: Staff Rmi

Message from the Editor pp. iii-iv: Jin-Chuan Duan
An Assessment of Systemic Risk in the Japanese Banking Sector pp. 1-15: Masayasu Kanno
Evolving Global Capital Regulations and Its Impact Particularly on Asia pp. 17-50: Dexter Tan and Thomas Cho
Actuarial Par Spread and Empirical Pricing of CDS by Decomposition pp. 51-65: Jin-Chuan Duan
Fast Approximation of Loan Portfolio Loss pp. 67-85: Jenny Bai, Heikki Seppälä and Ser-Huang Poon
Rejection and Partial Rejection of Consumer Credit Applications pp. 87-98: Steven Plaut
IACPM/Oliver Wyman Survey: Perspectives on the Evolving Role of Enterprise-Wide Stress Testing pp. 99-116: Andy McGee and Ilya Khaykin
NUS-RMI Credit Research Initiative Technical Report – Version: 2014 Update 1 pp. 117-202: Staff Rmi

Message from the Editor pp. iii-iv: Jin-Chuan Duan
Systemic Risk in Europe pp. 1-6: Eric Jondeau and Michael Rockinger
Reserve Requirements as Window Guidance in China pp. 21-42: Violaine Cousin
The Implementation of the Basel II Default Definition by Credit Risk Assessment Systems: An Analysis of Possible Aggregation Procedures pp. 43-55: Markus Bingmer and Laura Auria
Can Credit-Scoring Models Effectively Predict Microloans Default? Statistical Evidence from the Tunisian Microfinance Bank pp. 57-69: Ibtissem Baklouti and Abdelfettah Bouri
Stepping Up to the Liquidity Challenge: The Changing Role of Credit Portfolio Management pp. 71-76: Som-lok Leung, Marcia Banks and Rob Kiernan

Message from the Editor pp. iii-iv: Jin-Chuan Duan
Credit Markets: Retrospect and Prospect pp. 1-10: David M. Rowe
An Improved Regulatory Framework for Credit Rating Agencies? pp. 11-37: James Weston
Stress Testing pp. 39-52: Noel D'Cruz and Davide Crippa
Mega-Banks' Self-Insurance with Cocos: A Work in Progress pp. 53-77: George von Furstenberg
What are the Driving Factors Behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds? A Panel VAR Analysis pp. 79-94: Emmanuel Mamatzakis and Panos Remoundos
Measuring Distance-to-Default for Financial and Non-Financial Firms pp. 95-108: Jin-Chuan Duan and Tao Wang