Journal of the Royal Statistical Society (Series A)

Special Issue

on

Credit Risk Modelling

Guest editors: Jonathan Crook, Tony Bellotti, Ana-Maria Fuertes, Christophe Mues

CALL FOR PAPERS

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 thisresearch a Special 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, measuresof predictive accuracy, risk based pricing, fraud detection and use of novel data sources such as social media data in credit risk.

Papers to be presented at the Credit Scoring and Credit Control XVconference ( may be submitted but the Special Issue is open to other papers as well.

Submission guidelines

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 (Series A) ‘Notes on the Submission of papers’at.Manuscripts should be submitted electronically at

Submission deadline: 15 January 2018.

For further information or queries please contact:

Professor Jonathan Crook

University of EdinburghBusinessSchool

29 Buccleuch place

Edinburgh EH8 9JS

Tel: +44 (0)131 650 3802

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