Professor Jonathan Crook

Picture of Jonathan Crook

Professor of Business Economics, Deputy Dean and Director of Research

Email: Sm9uYXRoYW4uQ3Jvb2tAZWQuYWMudWs=
Phone: +44(0)131 6503802
Room: 3.27


Profile

Roles and responsibilities

  • Deputy Dean
  • Director of Research
  • Director of Credit Research Centre
  • Member of Executive Team

Background

Studied Economics at Lancaster and Cardiff. Has been a Visiting Fulbright Postdoctoral Research Scholar, McIntyre School of Commerce, University of Virginia, USA; a Visiting Fellow, University of Warwick, UK, and a Visiting Fellow, European University Institute, Florence. He is a Fellow of Financial Institutions Center, Wharton School, University of Pennsylvania; an External Research Fellow of the Centre for Finance, Credit and Macroeconomics at the University of Nottingham, and has been elected a Fellow of the Royal Society of Edinburgh.

Research interests

I tend to concentrate on two research areas.

  1. Modelling of credit risk and operational risk. The former includes survival and multistate modelling, modelling of loss given default, of exposure at default and stress testing. I am particularly interested in using novel predictors, issues concerning variation over time, capital requirements issues and the use of very large datasets. I am interested in models for retail credit of all types as well as credit to SMEs and large corporates.
  2. Economics of the consumer credit including the demand (consumption and finance models), the supply of credit and credit constraints using household level data.

Group membership

PhD Supervision

Jonathan is supervising 1 PhD student


Publications

Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond

Yao, Crook and Andreeva. (2016) Journal of Financial Stability.
Contribution to journal: Article

The stability of survival model parameter estimates for predicting the probability of default: Evidence over the Credit Crisis

Leow and Crook. (2016) European Journal of Operational Research.
Contribution to journal: Article

A new mixture model for the estimation of credit card exposure at default

Leow and Crook. (2016) European Journal of Operational Research.
Contribution to journal: Article

A New Mixture Models for modelling EAD for credit card

Crook. (2015).
Contribution to conference: Paper

Intensity models for credit card loans

Crook. (2015).
Contribution to conference: Paper

Support vector regression for loss given default modeling

Yao, Crook and Andreeva. (2015) European Journal of Operational Research 240 (2). 528-538.
Contribution to journal: Article

A New Model for Estimating Exposure at Default

Crook and Leow. (2014).
Contribution to conference: Paper

Intensity models with macroeconomic variables with simulations

Crook. (2014).
Contribution to conference: Paper

Intensity models and transition probabilities for credit card loan delinquencies

Leow and Crook. (2014) European Journal of Operational Research 236. 685-694.
Contribution to journal: Article
View / download (open access)

Modelling EAD for credit cards

Crook. (2013).
Contribution to conference: Paper

Estimation of Exposure at Default for Credit Cards

Leow and Crook. (2013).
Contribution to conference: Paper

Investigating the Stability of Survival Model Parameter Estimates for the Probability of Default: Empirical Evidence over the Credit Crisis

Leow and Crook. (2013).
Contribution to conference: Paper

Modelling EAD for credit cards

Crook. (2013).
Contribution to conference: Paper

A new mixture model for the estimation of credit card exposure at default

Leow and Crook. (2013).
Working paper: Working paper

Forecasting and Stress Testing Credit Card Default with Dynamic Models

Bellotti and Crook. (2013) International Journal of Forecasting 29 (4). 563-574.
Contribution to journal: Article
View / download (open access)

The effect of health shocks and house changes on debt holdings by older Americans

Crook and Hochguertel, S. (2013).
Working paper: Working paper

The Stability of Survival Model Parameter Estimates for Predicting the Probability of Default: Empirical Evidence over the Credit Crisis

Leow and Crook. (2013).
Working paper: Working paper
View / download (open access)

Chinese Companies Distress Prediction: An Application of Data Envelopment Analysis

Li, Crook and Andreeva. (2013) Journal of the Operational Research Society.
Contribution to journal: Article
View / download (open access)

Retail Credit Stress Testing Using a Discrete Hazard Model with Macroeconomic Factors

Bellotti and Crook. (2013) Journal of the Operational Research Society 65 (3). 340-350.
Contribution to journal: Article
View / download (open access)

Liquidity constraints and household wealth: an empirical dynamic panel model

Crook and Hochguertel, S. (2013).
Working paper: Working paper

Intensity Models and Transition Probabilities for Credit Card Loan Delinquencies

Leow and Crook. (2012).
Contribution to conference: Paper

Forecasting and explaining aggregate consumer credit delinquency behaviour

Crook and Banasik. (2012) International Journal of Forecasting 28 (1). 145-160.
Contribution to journal: Article
View / download (open access)

Editorial

Crook, J. and Archibald, T. (2012) Journal of the Operational Research Society 63 (1). 1-1.
Contribution to journal: Editorial

Asset Correlations for credit card defaults

Crook, J. and Bellotti, T. (2012) Applied Financial Economics 22 (2).
Contribution to journal: Article
View / download (open access)

Survival Models for Credit Default wit Unobserved Heterogeneity

Crook. (2012).
Contribution to conference: Paper

Intensity models and transition probabilities for credit card loan delinquincies

Crook and Leow. (2012).
Contribution to conference: Paper

Intensity Models and transition probabilities for credit card loan delinquencies

Crook and Leow. (2012).
Contribution to conference: Paper

Loss given default models incorporating macroeconomic variables for credit cards

Bellotti and Crook. (2012) International Journal of Forecasting 28 (1). 171-182.
Contribution to journal: Article
View / download (open access)

Checking for asymmetric default dependence in a credit card portfolio: A copula approach

Crook and Moreira. (2011) Journal of Empirical Finance 18 (4). 728-742.
Contribution to journal: Article
View / download (open access)

Intensity Models and Transition Probabilities for Credit Card Loan Delinquencies

Leow and Crook. (2011).
Contribution to conference: Paper

Survival Models for Credit Default wit Unobserved Heterogeneity

Crook. (2011).
Contribution to conference: Paper

Editorial

Archibald, T. and Crook, J. (2011) Journal of the Operational Research Society 62 (1).
Contribution to journal: Editorial

Survival analysis for credit default with unobserved heterogeneity

Crook, Leow and Bellotti. (2011).
Working paper: Working paper

Modelling take-up and profitability

Ma, P., Crook, J. and Ansell, J. (2010) Journal of the Operational Research Society 61 (3). 430-442.
Contribution to journal: Article

Reject inference in survival analysis by augmentation

Banasik, J. and Crook, J. (2010) Journal of the Operational Research Society 61 (3). 473-485.
Contribution to journal: Article
View / download (open access)

Editorial

Thomas, L., Crook, J. and Edelman, D. (2010) Journal of the Operational Research Society 61 (3). 357-358.
Contribution to journal: Editorial

Dynamic consumer default models

Crook and Bellotti. (2010).
Contribution to conference: Paper

Dynamic Models of Consumer Risk

Crook and Bellotti. (2010).
Contribution to conference: Paper

Time varying and dynamic models for default risk in consumer loads

Crook and Bellotti. (2010) Journal of the Royal Statistical Society: Series A 173 (2). 283-305.
Contribution to journal: Article
View / download (open access)

The affects of health shocks and house prices on debt holdings by older Americans

Crook and Hochguertel, S. (2010).
Contribution to conference: Paper
View / download (open access)

Credit scoring with macroeconomic variables using survival analysis

Bellotti, T. and Crook, J. (2009) Journal of the Operational Research Society 60 (12). 1699-1707.
Contribution to journal: Article
View / download (open access)

Support Vector Machines for Credit Scoring and discovery of significant features

Bellotti and Crook. (2009) Expert Systems with Applications 36. 3302-3308.
Contribution to journal: Article
View / download (open access)

Macroeconomic Dynamic Factors in Corporate Bond Default Prediction

Crook and Papanastasiou, D. (2009).
Working paper: Working paper

The Effects of Credit Constraints on the Sensitivity of Household Debt to Interest Rate Changes

Hochguertel, S. and Crook. (2009).
Working paper: Working paper

Dynamic Risk Models and Stress Testing for Credit Card Portfolios

Crook and Bellotti. (2009).
Contribution to conference: Paper

The affects of health shocks and house prices on debt holdings by older Americans

Crook and Hochguertel, S. (2009).
Working paper: Working paper
View / download (open access)

Dynamic Models of Consumer Risk

Crook and Bellotti. (2009).
Contribution to conference: Paper

Wealth effects to bidding companies from regulatory interventions in the UK

Jones and Crook. (2009) Applied Financial Economics 19 (8). 625-634.
Contribution to journal: Article

Asset Correlation for Credit Card Defaults

Crook. (2009).
Contribution to conference: Paper

Dynamic Models of Consumer Risk

Bellotti and Crook. (2009).
Contribution to conference: Paper

Asset Correlations for Credit Card Portfolios

Crook and Bellotti. (2009).
Working paper: Working paper

Credit Scoring in the Context of the European Integration: is there a future for generic models?

Andreeva, G., Ansell and Crook, J. (2008) Journal of Financial Transformation 23. 129-134.
Contribution to journal: Article

Liquidity Constraints and Household Wealth: An Empirical Dynamic Panel Model

Crook and Hochguertel, S. (2008).
Working paper: Working paper

Credit scoring with macroeconomic variables

Crook and Bellotti. (2008).
Contribution to conference: Paper

Household debt and credit constraints: comparative micro-evidence in four OECD countries

Crook and Hochguertel, S. (2008).
Contribution to conference: Paper

Recent Developments in Consumer Credit Risk Assessments

Crook, Edelman, D. and Thomas, L .C. (2007) European Journal of Operational Research 183. 1447-1465.
Contribution to journal: Article

Houshold debt and credit constraints: microevidence from Four OECD countries

Crook, J. and Hochguertel. (2007).
Contribution to conference: Other

Household debt and credit constraints: comparative micro evidence from four OECD countries

Crook and Hochguertel, S. (2007).
Contribution to conference: Paper

Modelling Profitability using Survival Combination Scores

Andreeva, Ansell and Crook. (2007) European Journal of Operational Research 183. 1537-1549.
Contribution to journal: Article

Reject Inference, Augmentation and Sample Selection

Banasik and Crook. (2007) European Journal of Operational Research 183. 1582-1594.
Contribution to journal: Article
View / download (open access)

CEO Turnover in the UK following recent domestic cross border deals

Han, J., Andre, P. and Crook. (2007).
Working paper: Working paper

Credit Scoring with Macroeconomic Variables

Crook and Bellotti. (2007).
Contribution to conference: Paper

The higher cost of follow up loans

Crook and Hanley, A. (2005) Small Business Economics 24. 29-38.
Contribution to journal: Article

The Role of Private Knowledge in Reducing the Information Wedge: A Research Note

Crook and Hanley, A. (2005) Journal of Business Finance & Accounting 32. 415-433.
Contribution to journal: Article

Credit Scoring augmentation and lean models

Banasik and Crook. (2005) Journal of the Operational Research Society 56. 1072-1081.
Contribution to journal: Article

Modelling the Purchase Propensity: Analysis of a Revolving Store Card

Andreeva, Ansell and Crook. (2005) Journal of the Operational Research Society 56. 1041-1050.
Contribution to journal: Article

The impact of anti-discrimination laws on credit scoring

Andreeva, Ansell and Crook. (2004) Journal of Financial Services Marketing 9. 22-33.
Contribution to journal: Article

Does reject inference really improve the performance of application scoring models?

CROOK, J. and BANASIK, J. (2004) Journal of Banking & Finance 28. 857-874.
Contribution to journal: Article
View / download (open access)

Sample selection bias in credit scoring models

Banasik, J., Crook, J. and Thomas, L. (2003) Journal of the Operational Research Society 54. 822-832.
Contribution to journal: Article

Credit Scoring and its Applications

Crook. (2002) Journal of the Operational Research Society 52. 997-1006.
Contribution to journal: Article

The Demand for Household Credit: Evidence from the 1995 Survey of Consumer Finance

Crook. (2001) Applied Financial Economics 11. 83-92.
Contribution to journal: Article

Scoring by Usage

Banasik, Crook and Thomas, L .C. (2001) Journal of the Operational Research Society 52. 997-1006.
Contribution to journal: Article

The power to borrow and lend: investigating the cultural context as part of the lending decision

Crook, Kemp, R., Maznevski, M .L. and Overstreet, G .A. (2001) Journal of the Operational Research Society 52. 1045-1056.
Contribution to journal: Article

The demand for household debt in the USA: evidence from the 1995 Survey of Consumer Finance

Crook. (2001) Applied Financial Economics 11. 83-92.
Contribution to journal: Article

Recallibrating Scorecards

Banasik and Crook. (2001) Journal of the Operational Research Society 52. 1045-1056.
Contribution to journal: Article

Credit Scoring and its Applications

Crook, Edelman, D. and Thomas, L .C. (2001) Journal of the Operational Research Society 52. 997-1006.
Contribution to journal: Article

Recalibrating scorecards

Banasik, Crook and Thomas, L .C. (2001) Journal of the Operational Research Society 52. 981-988.
Contribution to journal: Article

Sample Selection Bias in Credit Scoring Models

Banasik and Crook. (2001) Credit Scoring and Credit Control V11 Conference.
Contribution to journal: Article

Credit scoring using Neural and Evolutionary Techniques

Crook, Ross, P. and Yobas, M. (2000) IMA Journal of Mathematics Applied in Business and Industry 11. 111-125.
Contribution to journal: Article

Credit Scoring and its Applications

Crook. (2000) Society for Industrial and Applied Mathematics.
Contribution to journal: Article

Who is discouraged from applying for credit?

Crook. (1999) Economics Letters 65. 165-172.
Contribution to journal: Article

Not If But When Borrowers Will Default

Banasik, J., Crook, J .N. and Thomas, L .C. (1999) Journal of the Operational Research Society 50. 1185-1190.
Contribution to journal: Article

The demand for household debt in the US: Evidence from the 1995 Survey of Consumer Finance

Crook. (1998) Applied Financial Economics.
Contribution to journal: Article

Not If But When

Banasik and Crook. (1998) Journal of the Operational Research Society.
Contribution to journal: Article

A Comparison of Neutral Networks, Genetic Algorithms and Linear Scoring Models in the Credit Union Environment

Crook, Conway, D .G., Desai, V .S. and Overstreet, G. (1997) IMA Journal of Mathematics Applied in Business and Industry 8. 323-346.
Contribution to journal: Article

Credit Scoring an overview

Crook. (1997) Journal of Financial Services Marketing 2. 152-174.
Contribution to journal: Article

Credit Scoring Models in the Credit Union Environment Using Neural Networks and Genetic Algorithms

Desai, V. (1997) IMA Journal of Mathematics Applied in Business and Industry 8 (4). 323-346.
Contribution to journal: Article

Does co-operation in auditing matter? A comparison of a non-cooperative and a cooperative model of auditing

Cook, J., Hatherly, D., Nadeau, L. and Thomas, LC. (1997) European Journal of Operational Research 103 (3). 470-482.
Contribution to journal: Article

Credit Scoring: An Overview

Crook. (1996) European Journal of Operational Research 95. 24-37.
Contribution to journal: Article

Does Scoring a Subpopulation Make a Difference?

Banasik, Crook and Thomas, L .C. (1996) International Review of Retail, Distribution and Consumer Research 6. 180-195.
Contribution to journal: Article

A Comparison of a Neutral Network and Classical Techniques for Credit Scoring

Crook. (1996) European Journal of Operational Research 5. 24-37.
Contribution to journal: Article

Credit Constraints and US Households

Crook. (1996) Applied Financial Economics 6. 477-485.
Contribution to journal: Article

Short and Long Run Movements in US Merger Activity

Crook. (1996) Review of Industrial Organisation 11. 307-323.
Contribution to journal: Article

A Comparison of Neural Networks and Linear Scoring Models in the Credit Union Environment

Crook. (1996) European Journal of Operational Research 95. 24-37.
Contribution to journal: Article

A Comparison of a Neural Network and Classical Techniques for Credit Scoring

Crook, Desai, V .S. and Overstreet, G. (1996) European Journal of Operational Research 95. 24-36.
Contribution to journal: Article

Time Series Explanations of Merger Activity: Some Econometric Results

Crook. (1995) International Review of Applied Economics 9. 59-85.
Contribution to journal: Article

Credit Cards: Haves, Have-Nots and Cannot-Haves

Crook, Hamilton, R. and C. (1994) Service Industries Journal 14. 204-215.
Contribution to journal: Article

The Degradation of the Scorecard over the Business Cycle

Crook, Hamilton, R. and C. (1992) IMA Journal of Mathematics Applied in Business and Industry 4. 497-509.
Contribution to journal: Article

A Comparison of a Credit Scoring Model with a Credit Performance Model

Crook, Hamilton, R. and C. (1992) Service Industries Journal 12. 558-575.
Contribution to journal: Article

Credit Card Holders: Users and Non-Users

Crook, Hamilton, R. and C. (1992) Service Industries Journal 12. 251-262.
Contribution to journal: Article