Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Volume 17, Number 1 (March 2021)
Editor's Letter
LETTER FROM THE PUBLISHER
Nick Carver, Infopro Digital
On behalf of the board and the Risk Journals team, I am delighted to announce that Professor Nikunj Kapadia has taken over as co-editor-in-chief of The Journal of Credit Risk.
As a former associate editor of The Journal of Credit Risk, Nikunj knows the journal well and brings a wealth of experience editorially, having published with and served on the boards of several other journals. I am pleased to say that, over the past few months, he has already put in a great deal of work to ensure a smooth transition for both authors and associate editors, and I would like to take this opportunity to thank him for this.
By way of background, Nikunj is the chair and a professor of finance at the Isenberg School of Management of the University of Massachusetts. He holds a PhD in finance from the Stern School of Business, New York University, and an MBA from the Indian Institute of Management, Bangalore. Nikunj is broadly interested in the areas of credit and equity derivatives. In previous research, he has looked at the pricing of credit default swaps, the information content of credit ratings and the evolution of market-wide default risk. He has also investigated the pricing of the varianceriskpremiumandhasdevelopedindexestomeasureskewandtailriskfrom option prices. He is currently interested in the evolution of liquidity across equity and derivative markets.
Nikunj will be working closely with Linda Allen as co-editor-in-chief. I look forward to seeing the journal go from strength to strength under their leadership.
Papers in this issue
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
A joint model of failures and credit ratings
The authors propose a novel framework for credit risk modeling, where default or failure information and rating or expert information are jointly incorporated in the model.
Corporate default risk modeling under distressed economic and financial conditions in a developing economy
The authors create stepwise logistic regression models to predict the probability of default for private nonfinancial firms under distressed financial and economic conditions in a developing economy. Their main aim is to identify and interpret the…
