Empirical and theoretical developments in credit risk modelling are proceeding at a faster pace than ever before. Alternative variables, new algorithms, new regulatory issues, new types of data, and much larger volumes of data are all the subjects of the increasing number of papers in the literature. This Special issue of JORS aims to bring together outstanding research in any area of credit risk modelling. Papers are invited on any aspect of credit risk modelling including (but not limited to) the following: optimisation in credit decisioning, issues concerning classifiers, use of new types of data, stress testing, loss given default, probability of default modelling, use of social media, dynamic models including the macroeconomy, new issues in reject inference, survival and related types of models, interpretability, bias detection, affordability, machine learning for credit risk, unbalanced classes, methods of measuring model performance, and shrinkage methods. Papers may relate to credit given to any sector of an economy and any type of credit.
All papers will be subject to the usual refereeing process of JORS. Papers presented at the Credit Scoring and Credit Control XVI conference during 27–30 August 2019 at the University of Edinburgh may be submitted. However this is an open Call and any papers in the area may be submitted even if they are not presented at the conference.
The Guest Editors of this Special Issue will be: Professor Jonathan Crook (University of Edinburgh), Professor Christophe Mues (University of Southampton), Dr Tony Bellotti (Imperial College) and Dr Galina Andreeva (University of Edinburgh). The closing date for submissions is 17 January 2020 and submission should be made through the JORS website at: https://www.theorsociety.com/what-we-do/publications/journals/jors/. All papers must comply with the submission requirements of JORS, available at the above website.