TY - JOUR
T1 - Credit Risk Research
T2 - Review and Agenda
AU - Zamore, Stephen
AU - Ohene Djan, Kwame
AU - Alon, Ilan
AU - Hobdari, Bersant
N1 - Publisher Copyright:
Copyright © Taylor & Francis Group, LLC.
PY - 2018/3/16
Y1 - 2018/3/16
N2 - 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.
AB - 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.
KW - bibliography
KW - bibliometric citation
KW - co-citation
KW - credit risk
KW - historiographic mapping
UR - http://www.scopus.com/inward/record.url?scp=85042226150&partnerID=8YFLogxK
U2 - 10.1080/1540496X.2018.1433658
DO - 10.1080/1540496X.2018.1433658
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AN - SCOPUS:85042226150
SN - 1540-496X
VL - 54
SP - 811
EP - 835
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - 4
ER -