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Welcome to www.journalofcreditrisk.com
Welcome to The Journal of Credit Risk website. The Journal is an international refereed journal focusing on the measurement and management of credit risk, the valuation and hedging of credit risk theory and practice.

Through the website, www.thejournalofcreditrisk.com, you can access the full Journal of Credit Risk archive and enjoy the option to view individual papers on our secure Pay-Per-View system. You can also use the site to submit papers for review, subscribe, renew your subscription or order back issues, plus much more.

Subscribers receive 4 hard-copy issues plus on-line access to our full archive library of research papers click here to subscribe. If you have any questions or comments about The Journal of Credit Risk or the website please contact us click here.>
First International Conference on CREDIT ANALYSIS and RISK MANAGEMENT CALL for PAPERS and ABSTRACTS and PANEL DISCUSSION IDEAS In a Conference that advances knowledge through the merging of Practitioner and Academic knowledge and expertise (July 21-23, 2011, Rochester, MI)

Selected papers will be invited for submission to a special issue of The Journal of Credit Risk devoted to the conference


Keynote Speakers:
Edward Altman (New York University) on Important Contemporary Topics in Global Credit Analysis
Sean Keenan (GE Capital) on practical analysis of individual loans and credits
Uday Rajan (University of Michigan) on the importance of using “soft” information in credit analysis
Erik HeitField (Federal Reserve Bank) on the limitations of using only statistics in credit analysis

Aim: The recent global financial crisis has exposed a weakness in credit analysis in the financial system. This conference is intended to expand the knowledge of credit analysis through discussion of existing models of analyzing credit risk and the encouragement of further development of such models.

Research Papers and Abstracts Solicited on: Credit analysis and credit ratings, Credit portfolio models and limitations, Model risk in credit, Credit derivatives (including CDOs, CLOs, CMOs, and CDSs), Securitization and structured finance, and the future of regulation. While there is a heavy focus on credit analysis, submission of abstracts and papers on risk management relating to any assets or processes is also highly encouraged.

Deadline for paper or abstract submission is April 15, 2011 (submit electronically to jamurphy@oakland.edu ). Authors will be notified by April 30, 2011. Deadline for registering is June 15, 2011.

The conference will include experts from both academia and industry talking on the subject of credit analysis and how processes for the evaluation of credit can be improved. While a significant portion of the conference will be related to such speakers and panel discussions that will be opened up to the floor, research papers on credit analysis are also being invited for presentation, as are volunteers to engage in panel discussions.

Attendance or participation for any portion of the conference is likely to be beneficial to all.

Program Co-Chairs: Daniel Rösch (Leibniz University of Hannover); daniel.roesch@finance.uni-hannover.de, Harald Scheule (The University of Melbourne); hscheule@unimelb.edu.au, Austin Murphy (Oakland University);jamurphy@oakland.edu,
http://www.oakland.edu/internationalcreditconference

Letter from the Editor
Ashish Dev
In this issue we present three full-length research papers and two technical reports. The first research paper, “A credit default model for a dynamically changing economy”, is by Patrik Andersson. In this paper Andersson proposes a simple model of the default process by drawing upon research into the spread of disease among humans.
Latest Issue
Volume 7 / Number 4
A credit default model for a dynamically changing economy.
Patrik Andersson
Modeling sector correlations with CreditRisk+: the common background vector model.
Matthias Fischer and Christian Dietz
Generalized beta regression models for random loss given default.
Xinzheng Huang and Cornelis W. Oosterlee
Market pricing of credit-linked notes: the case of retail structured products in Germany.
Andreas Rathgeber and YunWang
Approximating independent loss distributions with an adjusted binomial distribution.
Dominic O’Kane
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Academic Rate:
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Discounts available on a multiple journals purchase.
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