Volume 65, issue 3, March 2014

Special Issue: Credit Risk Modelling

Issue editors

Jonathan Crook
David Edelman

14 articles in this issue

Special issue credit risk modelling

Authors
- Jonathan Crook
- David Edelman
- Content type: Editorial
- Published: 13 February 2014
- Pages: 321 - 322
Creditworthiness dynamics and Hidden Markov Models

Authors
- L Quirini
- L Vannucci
- Content type: Special Issue Paper
- Published: 01 May 2013
- Pages: 323 - 330
On reduced-form intensity-based model with ‘trigger’ events

Authors (first, second and last of 4)
- Jia-Wen Gu
- Wai-Ki Ching
- Harry Zheng
- Content type: Special Issue Paper
- Published: 11 September 2013
- Pages: 331 - 339
Retail credit stress testing using a discrete hazard model with macroeconomic factors

Authors
- Tony Bellotti
- Jonathan Crook
- Content type: Special Issue Paper
- Published: 07 August 2013
- Pages: 340 - 350
Stress testing credit card portfolios: an application in South Africa

Authors
- Yixin Seah
- Mee Chi So
- Lyn C Thomas
- Content type: Special Issue Paper
- Published: 24 July 2013
- Pages: 351 - 362
The economy and loss given default: evidence from two UK retail lending data sets

Authors
- Mindy Leow
- Christophe Mues
- Lyn Thomas
- Content type: Special Issue Paper
- Published: 02 October 2013
- Pages: 363 - 375
Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state

Authors (first, second and last of 4)
- Ellen Tobback
- David Martens
- Bart Baesens
- Content type: Special Issue Paper
- Published: 15 January 2014
- Pages: 376 - 392
Forecasting probabilities of default and loss rates given default in the presence of selection

Authors
- D Rösch
- H Scheule
- Content type: Special Issue Paper
- Published: 29 August 2012
- Pages: 393 - 407
Selection bias in credit scorecard evaluation

Authors
- David J Hand
- Niall M Adams
- Content type: Special Issue Paper
- Published: 22 May 2013
- Pages: 408 - 415
Modelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios

Authors
- Raquel Florez-Lopez
- Juan Manuel Ramon-Jeronimo
- Content type: Special Issue Paper
- Published: 16 October 2013
- Pages: 416 - 434
Optimal ROE loan pricing with or without adverse selection

Authors
- B V Oliver
- R M Oliver
- Content type: Special Issue Paper
- Published: 11 July 2012
- Pages: 435 - 442
Monetary and relative scorecards to assess profits in consumer revolving credit

Authors
- Luis Javier Sánchez Barrios
- Galina Andreeva
- Jake Ansell
- Content type: Special Issue Paper
- Published: 03 July 2013
- Pages: 443 - 453
Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates

Authors
- Tomohiro Ando
- Content type: Special Issue Paper
- Published: 11 December 2013
- Pages: 454 - 465
Chinese companies distress prediction: an application of data envelopment analysis

Authors
- Zhiyong Li
- Jonathan Crook
- Galina Andreeva
- Content type: Special Issue Paper
- Published: 10 July 2013
- Pages: 466 - 479

Volume 65, issue 3, March 2014

Special Issue: Credit Risk Modelling

Special issue credit risk modelling

Creditworthiness dynamics and Hidden Markov Models

On reduced-form intensity-based model with ‘trigger’ events

Retail credit stress testing using a discrete hazard model with macroeconomic factors

Stress testing credit card portfolios: an application in South Africa

The economy and loss given default: evidence from two UK retail lending data sets

Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state

Forecasting probabilities of default and loss rates given default in the presence of selection

Selection bias in credit scorecard evaluation

Modelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios

Optimal ROE loan pricing with or without adverse selection

Monetary and relative scorecards to assess profits in consumer revolving credit

Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates

Chinese companies distress prediction: an application of data envelopment analysis

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Volume 65, issue 3, March 2014

Special Issue: Credit Risk Modelling

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Authors (first, second and last of 4)

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Authors (first, second and last of 4)

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