Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Volume 20, Number 2 (June 2024)
Papers in this issue
Random survival forests and Cox regression in loss given default estimation
The authors put forward a loss given default model which incorporates the survival process and illustrate their approach with real mortgage data.
Credit portfolio modeling and pricing using the Poisson binomial distribution
The authors extend the Poisson binomial distribution by integrating correlation and dependence between events, improving model validation and the capture of complex events.
Consumer credit card payment dynamics over the economic cycle
This papers uses data from 1.8 million credit card accounts to investigate how consumers revolve credit card debt and the impact of this on default risk.
