Journal of the Operational Research Society, Volume 65, Issue 3 (2014)

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Journal of the Operational Research Society, Volume 65, Issue 3 (2014)

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Special Issue: Credit Risk Modelling

Editorial

Editorial
Special issue credit risk modelling
Jonathan Crook & David Edelman
Pages: 321-322
Published online: 21 Dec 2017
CitationforSpecial issue credit risk modelling | Full Text | References | PDF (78.4 KB)
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Free Access

Special Issue Paper

Brief Report
Creditworthiness dynamics and Hidden Markov Models
L Quirini & L Vannucci
Pages: 323-330
Published online: 21 Dec 2017
AbstractforCreditworthiness dynamics and Hidden Markov Models | Full Text | References | PDF (179.8 KB)
  • 59 Views
  • 9 CrossRef citations
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Brief Report
On reduced-form intensity-based model with ‘trigger’ events
Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu & Harry Zheng
Pages: 331-339
Published online: 21 Dec 2017
AbstractforOn reduced-form intensity-based model with ‘trigger’ events | Full Text | References | PDF (232.6 KB)
  • 47 Views
  • 3 CrossRef citations
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Brief Report
Retail credit stress testing using a discrete hazard model with macroeconomic factors
Tony Bellotti & Jonathan Crook
Pages: 340-350
Published online: 21 Dec 2017
AbstractforRetail credit stress testing using a discrete hazard model with macroeconomic factors | Full Text | References | PDF (409 KB)
  • 244 Views
  • 22 CrossRef citations
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Brief Report
Stress testing credit card portfolios: an application in South Africa
Yixin Seah, Mee Chi So & Lyn C Thomas
Pages: 351-362
Published online: 21 Dec 2017
AbstractforStress testing credit card portfolios: an application in South Africa | Full Text | References | PDF (1.7 MB)
  • 72 Views
  • 1 CrossRef citations
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Brief Report
The economy and loss given default: evidence from two UK retail lending data sets
Mindy Leow, Christophe Mues & Lyn Thomas
Pages: 363-375
Published online: 21 Dec 2017
AbstractforThe economy and loss given default: evidence from two UK retail lending data sets | Full Text | References | PDF (1.3 MB)
  • 255 Views
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Brief Report
Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state
Ellen Tobback, David Martens, Tony Van Gestel & Bart Baesens
Pages: 376-392
Published online: 21 Dec 2017
AbstractforForecasting Loss Given Default models: impact of account characteristics and the macroeconomic state | Full Text | References | PDF (431.3 KB)
  • 252 Views
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Brief Report
Forecasting probabilities of default and loss rates given default in the presence of selection
D Rösch & H Scheule
Pages: 393-407
Published online: 21 Dec 2017
AbstractforForecasting probabilities of default and loss rates given default in the presence of selection | Full Text | References | PDF (654.5 KB)
  • 242 Views
  • 21 CrossRef citations
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Brief Report
Selection bias in credit scorecard evaluation
David J Hand & Niall M Adams
Pages: 408-415
Published online: 21 Dec 2017
AbstractforSelection bias in credit scorecard evaluation | Full Text | References | PDF (354.6 KB)
  • 161 Views
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Brief Report
Modelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios
Raquel Florez-Lopez & Juan Manuel Ramon-Jeronimo
Pages: 416-434
Published online: 21 Dec 2017
AbstractforModelling credit risk with scarce default data: on the suitability of cooperative bootstrapped strategies for small low-default portfolios | Full Text | References | PDF (284.7 KB)
  • 174 Views
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Brief Report
Optimal ROE loan pricing with or without adverse selection
B V Oliver & R M Oliver
Pages: 435-442
Published online: 21 Dec 2017
AbstractforOptimal ROE loan pricing with or without adverse selection | Full Text | References | PDF (320 KB)
  • 85 Views
  • 4 CrossRef citations
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Brief Report
Monetary and relative scorecards to assess profits in consumer revolving credit
Luis Javier Sánchez Barrios, Galina Andreeva & Jake Ansell
Pages: 443-453
Published online: 21 Dec 2017
AbstractforMonetary and relative scorecards to assess profits in consumer revolving credit | Full Text | References | PDF (566.1 KB)
  • 101 Views
  • 13 CrossRef citations
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Brief Report
Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates
Tomohiro Ando
Pages: 454-465
Published online: 21 Dec 2017
AbstractforBayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates | Full Text | References | PDF (763.2 KB)
  • 91 Views
  • 5 CrossRef citations
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Brief Report
Chinese companies distress prediction: an application of data envelopment analysis
Zhiyong Li, Jonathan Crook & Galina Andreeva
Pages: 466-479
Published online: 21 Dec 2017
AbstractforChinese companies distress prediction: an application of data envelopment analysis | Full Text | References | PDF (504.9 KB)
  • 320 Views
  • 38 CrossRef citations
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