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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. |
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Letter from the Editor
Ashish Dev
In this issue we present two full-length research papers and two technical reports.We
are pleased to include two papers co-authored by very prominent contributors in the
field: Edward Altman and Frank Fabozzi.
The first paper, “Corporate bond defaults are consistent with conditional independence”,
is by Kramer. The paper reconsiders the results in Das, Duffie, Kapadia and
Saita (2007), which cast doubt on the empirical validity of the conditional independence
assumption in the widely used doubly stochastic model of credit risk. The
authors show that the result of Das et al is not robust to alternative econometric specification
of the default intensity. The results in this paper suggest that the conditional
independence assumption may be “rescued” by more careful choice of conditioning
variables. This is an important contribution as well as a relief to practitioners, since
the conditional independence assumption has come to be a mainstay in most current
credit risk modeling practice. |
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