Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Volume 15, Number 3 (September 2019)
Editor's Letter
Welcome to this issue of The Journal of Credit Risk. In this issue we have three research papers.
Our first paper, “Asset correlation estimation for inhomogeneous exposure pools” by Christoph Wunderer, investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Christian Fenger, in “An efficient portfolio loss model”, our second paper, develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
And our final paper “On probability of default and its relation to observed default frequency and a common factor”, by Brent Oeyen and Oliver Salazar Celis, considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
Papers in this issue
Asset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
On probability of default and its relation to observed default frequency and a common factor
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
