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Welcome to www.journalofcreditrisk.com
Welcome to the Journal of Credit Risk website. The only international refereed Journal focusing on the measurement and management of credit risk.

Through the website, www.theJournalofcreditrisk.com, you can access the full Journal of Credit Risk archive - you can view a full comprehensive title and author list.

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Letter from the Editor-In-Chief
Ashish Dev
As we rolled over from the mortgage credit-related woes of 2007 into the first quarter of 2008, a new aspect of credit risk emerged. Monoline insurers have traditionally been offering insurance to back up municipal and other bonds. The wrap or guarantee provided would bring up the credit rating of the bond to AAA. Over the past decade, the monoline insurers have been providing guarantees against the chance that certain reference entities would default, by writing protection on credit default swap (CDS) contracts. These reference entities are often complex bundles of mortgage-backed assets – portfolio of RMBS tranches or super-senior collateralized debt obligation (CDO) with RMBS tranches as underlying.
Latest Issue
Volume 4 / Number 1
An approximation for credit portfolio losses
Rüdiger Frey, Monika Popp and Stefan Weber
Accurate allocation of risk capital in credit portfolios
Jan W. Kwiatkowski and D. James Burridge
A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Tomasz R. Bielecki, Andrea Vidozzi and Luca Vidozzi
Technical Report
Estimating EAD for retail exposures for Basel II purposes
Vytautas Valvonis
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