The Journal of the Royal Statistical Society (Series A) is calling for papers in a themed issue on Credit Risk Modelling. The guest associate editors are Jonathan Crook, Tony Bellotti, Ana-Maria Fuertes and Christophe Mues.
Rapid changes in the markets for consumer and mortgage loans have meant that the industry relies ever more heavily on predictive statistical models. Simultaneously, academic research in the area is rapidly increasing. To facilitate dissemination of this research a themed issue of the Journal of the Royal Statistical Society (Series A) will be dedicated to this topic.
Papers are invited that make original contributions to knowledge in empirical credit risk modelling. Examples of subject areas that would fit into this area include, but are not restricted to: classifier methodologies, survival and longitudinal models, time series models, state-space models, and Markov models. Parametric and non-parametric models as well as frequentist and Bayesian approaches are all welcome.
Application areas include probability of default, loss given default and exposure at default modelling, portfolio credit risk modelling, stress testing, loss prediction, collections modelling, affordability modelling, attrition models, models for IFRS9, reject inference, corporate default modelling, models for SMEs, profit modelling, measures of predictive accuracy, risk based pricing, fraud detection and use of novel data sources such as social media data in credit risk.
Papers presented at the Credit Scoring and Credit Control XV conference (http://www.business-school.ed.ac.uk/crc) may be submitted but the issue is open to other papers as well.
Manuscripts should be no more than 24 journal pages in length with all contributions being subject to a desk screening process by the guest editors. Papers that are successful at this stage will then be sent for review. The standard refereeing process of JRSS (A) will be followed. Please consult the Journal of the Royal Statistical Society’s guidelines (Series A) ‘Notes on the submission of papers’ (PDF). Manuscripts should be submitted via https://mc.manuscriptcentral.com/jrss.
Submission deadline: 15 February 2018.