6533b7d6fe1ef96bd1266405
RESEARCH PRODUCT
Credit Risk Research: Review and Agenda
Ilan AlonKwame Ohene DjanStephen ZamoreBersant Hobdarisubject
050208 financeActuarial scienceCredit default swapWeb of science05 social sciencesCo-citationLoanCitation analysis0502 economics and businessBusiness050207 economicsGeneral Economics Econometrics and FinanceFinanceCredit riskResearch reviewdescription
This article provides a comprehensive review of scholarly research on credit risk measurement during the last 57 years applying bibliometric citation analysis and elaborates an agenda for future research. The bibliography is compiled using the Institute for Scientific Information (ISI) Web of Science (WOS) database and includes all articles with citations over the period 1960–2016. Specifically, the review is carried out using 1695 articles across 72 countries published in 442 journals by 2928 authors. The findings suggest that credit risk research is multifaceted and can be classified into six streams: (1) defaultable security pricing, (2) default intensity modeling, (3) comparative analysis of credit models, (4) comparative analysis of credit markets, (5) credit default swap (CDS) pricing, and (6) loan loss provisions. The article contributes through synthesizing and identifying existing as well as emerging research streams.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2018-01-29 | Emerging Markets Finance and Trade |