Recent papers on credit risk and related topics.
| Title | Author(s) | Year | Paper |
|---|---|---|---|
| No 2026/03 |Disentangling Environmental and Economic Risks in Mortgage Default: A Spatio-Temporal Modelling and Stress-Testing Framework with Capital Implications | Viani B. Djeundje, Jonathan Crook, Galina Andreeva | 2026 | Download Abstract (PDF) , Download Paper (PDF) |
| No 2026/02 | How High Does Your Gini Need to Be? Deriving Minimum Scorecard Discrimination from Business KPIs | Minh Tran, MaiNguyen | 2026 | Download Abstract (PDF) , Download Paper (PDF) |
| No 2026/01 | The Simple Mathematics of Large Language Models | Joseph L. Breeden | 2026 | Download Paper (PDF) |
| No 2025/02 | A Novel Dynamic Ensemble Learning (DEL) Framework to Combat The Dataset Shift: The Case of Loss Given Default | Junfeng Zhang , Galina Andreeva, Yizhe Dong | 2025 | Download Paper (PDF) |
| No 2025/01 | Are ESG Responsible Companies Loss Responsible? Modelling LGD with ESG Information | Junfeng Zhang, Galina Andreeva, Yizhe Dong | 2025 | Download Paper (PDF) |
| No. 2024/07 |Which households are credit constrained in Europe? | Jonathan Crook | 2024 | Download Paper (PDF) |
| No. 2024/06 | Unavoidable Model Risk in Expected Credit Loss models under IFRS9 and CECL | Alan Forrest | 2024 | Download Paper (PDF) |
| No. 2024/05 | The menopause transition and the gender gap in entrepreneurship | Louise Rowllings | 2024 | Download Abstract (PDF) , Download Paper (PDF) |
| No. 2024/04 | A Theory of Borrowers | Joseph L. Breeden | 2024 | Download Paper (PDF) |
| No. 2024/03 | Navigating dynamic financial risk: a latent Markov approach to safeguard vulnerable consumers in Open Banking | Rui Ying Goh, Galina Andreeva, Yi Cao | 2024 | Download Paper (PDF) |
| No. 2024/02 | Unleashing the power of text for credit default prediction: Comparing human generated and AI-generated texts | Zongxiao Wu, Yizhe Dong, Yaoyiran Lib, Baofeng Shic | 2024 | Download Paper (PDF) |
| No. 2024/01 | Model Shift and Model Risk Management | Alan Forrest | 2024 | Download Paper (PDF) |
| No. 2023/02 | Volatility prediction via interpretable models through the lens of vulnerability: an application to Open Banking | Rui Ying Goh, Galina Andreeva and Yi Cao | 2023 | Download Paper (PDF) |
| No. 2023/01 | The Double-Edged Sword of Big Data and Information Technology for the Disadvantaged: A Cautionary Tale from Open Banking | Savina D. Kim, Galina Andreeva, and Michael Rovatsos | 2023 | Download Paper (PDF) |