Professor of Business Economics, Deputy Dean and Director of Research
Roles and Responsibilities
- Deputy Dean
- Director of Research
- Director of Credit Research Centre
- Member of Executive Team
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 and made a Fellow of the Academy of Social Sciences.
- Credit risk modelling
- Bank capital modelling
- Big data analytics
- Data analytics
- Econometrics of financial markets
- Enterprise risk management
- Financial decision-making
- Financial econometrics
- Governance & risk management
- Operational risk
- Predictive analytics
- Small & medium size enterprises (SME)
- Stress testing of consumer credit portfolios
He concentrates on two research areas.
- 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.
- Economics of the consumer credit including the demand (consumption and finance models), the supply of credit and credit constraints using household level data.
Some recent publications include:
- Djeundje, V. & Crook, J. (2019) Identifying hidden patterns in credit risk survival data using Generalised Additive Models. European Journal of Operational Research (in press).
- Djeundje, V. & Crook, J. (2019) Dynamic survival models with time varying coefficients for credit risks. European Journal of Operational Research, Vol 275(1), 319-333.
- Djeundje, V. & Crook, J. (2018) Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards. European Journal of Operational Research, Vol 271(2), 697-709.
- Yao, X., Crook, J. & Andreeva, G. (2017) Enhancing two stage modelling methodology for loss given default with support vector machines. European Journal of Operational Research. Vol 263 (2) 2017, 679-689.
- Leow, M. & Crook, J. (2016) A New Mixture Model for the Estimation of Credit Card Exposure at Default. European Journal of Operational Research, Vol 249(2) 2016, 487-497.
- Leow, M. & Crook, J. (2016) The Stability of Survival Model Parameter Estimates for predicting the probability of default: Empirical Evidence over the Credit Crisis. European Journal of Operational Research, 249(2) 2016, 457-464.
- Xiao, Y., Crook, J. & Andreeva, G. (2015) Support Vector Regression for Loss Given Default Modeling. European Journal of Operational Research, Vol 240(2) 2015, 528-538,
- Leow, M. & Crook, J. (2014) Intensity Models and Transition Probabilities for Credit Card Loan Delinquencies. European Journal of Operational Research. Vol 236(2), 2014, 685-694.
He has two postdoctoral research fellows: Dr Viani Djeundje and Dr Johanna Garcon Rozo.
He is working on the following research projects:
- Stress testing and survival modelling (2010-) (CRC funded)
- Survival modelling with new forms of data (2015-) (Corporate funding)
- Credit scoring with alternative data (2015-) ESRC IAA funded
- Survival modelling and geographic contagion (2017-)
- Bank governance and risk (2017-)
He currently supervises four PhD students with Galina Andreeva and Raffaella Calabrese working on intensity models for mortgage loans, Bayesian models for stress testing, prediction of upgrades and down grades and affordability modelling (second supervisor).