1 October 2023
Call for Papers
Annals of Operations Research seeks submissions for a special volume on Credit Risk Modelling Innovations in a Changing World. The deadline for submission is 31 January 2024. This special issue is targeted towards, but not restricted to the 18th Credit Scoring & Credit Control conference 2023. Papers not presented at the conference may also be submitted. Contributions arising from papers given at the conference should be substantially extended, and should cite the conference paper where appropriate. Credit risk modelling/credit scoring, the main topic of the conference, is one of the most successful applications of Operational Research. Its main traditional objective is to assist in deciding if a borrower should be given a loan or not. This is achieved by employing mathematical, statistical, and machine-learning models that estimate the probability of default using some historic data. Since its inception in the 1940s–1950s, credit scoring has been adopted by almost all lenders.
Recent years have seen an explosion of new methods and technologies in the area of credit risk: Artificial intelligence, Cloud Computing, Big (and alternative) Data—to name just a few. Alongside the technological development, credit risk modellers face an increasing number of new challenges brought by political turmoil, economic pressures, and changing society. Such challenges include, for example, energy and cost of living crises, climate change, ensuring that principles of fairness and ethics are observed.
The aim of this special issue is to explore theoretical and practical solutions based in the latest technology to the problems that the credit risk analytics community faces. It invites papers that make significant research contributions to the topics listed below (the list is not restrictive).
The main topics of interest are:
- Climate risk for credit
- Open banking and transactional data
- Portfolio credit risk management and regulation
- Economic capital estimation, LGD and EAD, IFRS9
- Stress testing and scenario analysis
- The incorporation of macroeconomic factors into risk modelling
- Dynamic risk modelling
- Attrition, churn, and collections scoring
- AI/ML and deep learning for credit risk
- “Big Data” in credit analytics
- Risk assessment of small businesses
- Profit scoring and risk based pricing
- Corporate default modelling
- Optimisation and credit scoring
- Affordability and financial vulnerability, transparency, and fairness
- Fraud scoring and financial crimes
- Model risk
Authors should submit a cover letter and a manuscript by 31 January 2024 , via the Journal’s online submission site, Editorial Manager (EM). Please see the Author Instructions on the web site if you have not yet submitted a paper through EM. When prompted for the article type, please select Original Research. On the Additional Information screen you will be asked if the submission belongs to a special issue, choose yes and the special issue’s title, Credit Risk Modelling Innovations in a Changing World. Manuscripts submitted after the deadline may not be considered for the special issue and may be transferred, if accepted, to a regular issue.
Papers will be subject to a strict review process under the supervision of the Guest Editors, and accepted papers will be published online individually, before print publication.
Special Issue Guest Editors
Professor Galina Andreeva, Personal Chair of Societal Aspects of Credit, Credit Research Centre, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, UK
Professor Jonathan Crook, Emeritus Professor of Business Economics, Credit Research Centre, University of Edinburgh Business School, 29 Buccleuch Place, Edinburgh, UK
Professor Christophe Mues, Professor of Data Science & Information Systems, Southampton Business School, University of Southampton, Southampton SO17 1BJ, UK