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Special issue: “Credit risk: Measurement, management, pricing, and regulation”
NOR'II-I - H ( ~ A N D
Call for Papers Special Issue: "Credit Risk: Measurement, Management, Pricing, and Regulation"
The management of credit risk has chan~ed considerably during the last decade. Beginning in the early 1980s, banks and other lenders instituted various forms of Risk Adjusted Return on Capital (or RAROC) models for pricing and managing credit risk, and the lending industry incorporated significant and costly changes in the management information systems used to track credit loss experience. In addition, there is now an emerging market for collateralized loan obligations (CLOs) and other credit derivatives to assist in the meeting of corporate riskreturn objectives. Bank, insurance company, and investment company regulators are more cognizant of the role of credit risk in contributing to institutional failure and systematic risk, and there is an increasing concern over the interrelationship between and among credit risk, market risk, and other types of risk facing lending institutions, including operational and legal/regulatory risks. The Journal of Economics and Business plans to publish a special issue in 1998, and is seeking theoretical and empirical papers on the measurement, management, pricing, and regulation of credit risk. In particular, the Journal is looking for papers providing estimates of the loss density functions associated with groups or pools of loans, alternative pricing models including differential pricing according to "grade" (loss probability), and pricing according to the impact of the marginal loan on portfolio loss variance. Also welcome are papers dealing with the emergence of collateralized loan obligations backed by pools of assets not currently securitized, including small business loans and mid-market commercial loans, or other forms of credit derivatives. Papers dealing with the regulatory and public policy aspects of the new tools for measuring and managing credit risk will also be considered. All papers will be refereed. The deadline for submission is February 1, 1997. Authors should submit four copies of their paper, along with the Journal's $45 submission fee, to one of the special issue co-editors: David S. Jones or John Mingo, Division of Research and Statistics, Board of Governors, Federal Reserve System, Washington, DC 20551. J o u r n a l of Economics a n d Business 1996; 48:203 © 1996 Temple University
0148-6195/96/$15.00 Pll S0148-6195(96)00031-8
Call for Papers Special Issue: "Credit Risk: Measurement, Management, Pricing, and Regulation"
The management of credit risk has chan~ed considerably during the last decade. Beginning in the early 1980s, banks and other lenders instituted various forms of Risk Adjusted Return on Capital (or RAROC) models for pricing and managing credit risk, and the lending industry incorporated significant and costly changes in the management information systems used to track credit loss experience. In addition, there is now an emerging market for collateralized loan obligations (CLOs) and other credit derivatives to assist in the meeting of corporate riskreturn objectives. Bank, insurance company, and investment company regulators are more cognizant of the role of credit risk in contributing to institutional failure and systematic risk, and there is an increasing concern over the interrelationship between and among credit risk, market risk, and other types of risk facing lending institutions, including operational and legal/regulatory risks. The Journal of Economics and Business plans to publish a special issue in 1998, and is seeking theoretical and empirical papers on the measurement, management, pricing, and regulation of credit risk. In particular, the Journal is looking for papers providing estimates of the loss density functions associated with groups or pools of loans, alternative pricing models including differential pricing according to "grade" (loss probability), and pricing according to the impact of the marginal loan on portfolio loss variance. Also welcome are papers dealing with the emergence of collateralized loan obligations backed by pools of assets not currently securitized, including small business loans and mid-market commercial loans, or other forms of credit derivatives. Papers dealing with the regulatory and public policy aspects of the new tools for measuring and managing credit risk will also be considered. All papers will be refereed. The deadline for submission is February 1, 1997. Authors should submit four copies of their paper, along with the Journal's $45 submission fee, to one of the special issue co-editors: David S. Jones or John Mingo, Division of Research and Statistics, Board of Governors, Federal Reserve System, Washington, DC 20551. J o u r n a l of Economics a n d Business 1996; 48:203 © 1996 Temple University
0148-6195/96/$15.00 Pll S0148-6195(96)00031-8