Journal of Credit Risk最新文献

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Climate-policy-relevant sectors and credit risk 气候政策相关部门和信用风险
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2023.003
M. Borsuk
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引用次数: 0
Pricing default risk in stochastic time 随机时间下的违约风险定价
4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2023.004
Antti J. harju
{"title":"Pricing default risk in stochastic time","authors":"Antti J. harju","doi":"10.21314/jcr.2023.004","DOIUrl":"https://doi.org/10.21314/jcr.2023.004","url":null,"abstract":"This study examines the pricing of credit derivatives using the structural modeling framework. These types of models are known to have problems with accurately valuing derivative securities. To address these problems, this study proposes incorporating additional sources of risk associated with balance sheet dynamics. Specifically, the study introduces the hypothesis of imperfect balance sheet information (as previously explored by Duffie and Lando), which produces a realistic channel for the short-horizon default risk. Moreover, a stochastic time allowing for jumps is incorporated to capture the increased uncertainty over longer horizons, which could be linked to upcoming news or legal issues. Overall, the study demonstrates how these modifications can enhance the predictive power of structural models and improve their usefulness in real-world applications.","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"266 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136028686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling 结合时间加权和重采样的基于案例推理的类不平衡财务困境动态预测
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2022.006
Jie Sun, Mingyang Sun, Mengru Zhao, Yingying Du
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引用次数: 0
Default forecasting based on a novel group feature selection method for imbalanced data 一种新的不平衡数据组特征选择方法的默认预测
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2023.005
Guotai Chi, Jin Xing, Ancheng Pan
{"title":"Default forecasting based on a novel group feature selection method for imbalanced data","authors":"Guotai Chi, Jin Xing, Ancheng Pan","doi":"10.21314/jcr.2023.005","DOIUrl":"https://doi.org/10.21314/jcr.2023.005","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"13 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82494824","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Instabilities in Cox proportional hazards models in credit risk 信用风险中Cox比例风险模型的不稳定性
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2022.014
J. Breeden, A. Bellotti, Ye. A. Leonova
{"title":"Instabilities in Cox proportional hazards models in credit risk","authors":"J. Breeden, A. Bellotti, Ye. A. Leonova","doi":"10.21314/jcr.2022.014","DOIUrl":"https://doi.org/10.21314/jcr.2022.014","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"14 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79109496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of default 逻辑回归的校准替代方案及其将歧视性权力的统计分散转化为违约概率的不确定性的潜力
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2022.005
Jan Henrik Wosnitza
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引用次数: 1
Managerial connections and corporate risk-taking: evidence from the Great Recession 管理关系与企业冒险:来自大衰退的证据
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2022.007
N. Chidambaran, Stefano Manfredonia
{"title":"Managerial connections and corporate risk-taking: evidence from the Great Recession","authors":"N. Chidambaran, Stefano Manfredonia","doi":"10.21314/jcr.2022.007","DOIUrl":"https://doi.org/10.21314/jcr.2022.007","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"39 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78877516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates 中小企业违约时间:基于时变协变量的改进混合固化模型分析
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2022.013
Qingli Dong, Guotai Chi
{"title":"Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates","authors":"Qingli Dong, Guotai Chi","doi":"10.21314/jcr.2022.013","DOIUrl":"https://doi.org/10.21314/jcr.2022.013","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"95 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81413438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Banking on personality: psychometrics and consumer creditworthiness 个性银行:心理测量学和消费者信用
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2023.001
Saul Fine
{"title":"Banking on personality: psychometrics and consumer creditworthiness","authors":"Saul Fine","doi":"10.21314/jcr.2023.001","DOIUrl":"https://doi.org/10.21314/jcr.2023.001","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"1 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83424376","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Understanding and predicting systemic corporate distress: a machine-learning approach 理解和预测系统性企业困境:一种机器学习方法
IF 0.3 4区 经济学
Journal of Credit Risk Pub Date : 2023-01-01 DOI: 10.21314/jcr.2023.006
Burcu Hacibedel, Rtinong Qu
{"title":"Understanding and predicting systemic corporate distress: a machine-learning approach","authors":"Burcu Hacibedel, Rtinong Qu","doi":"10.21314/jcr.2023.006","DOIUrl":"https://doi.org/10.21314/jcr.2023.006","url":null,"abstract":"","PeriodicalId":44244,"journal":{"name":"Journal of Credit Risk","volume":"49 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76388427","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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