Jonathan Crook Headshot

Emeritus Professor of Business Economics

Background

Jonathan studied Economics at Lancaster and Cardiff. He has been a Visiting Fulbright Postdoctoral Research Scholar at the McIntyre School of Commerce, University of Virginia, USA; a Visiting Fellow at the University of Warwick, UK, and a Visiting Fellow at the European University Institute, Florence and a Fellow of Financial Institutions Center, Wharton School, University of Pennsylvania. He has been a joint Editor in Chief of the Journal of the Operational Research Society (2010-2019). He was a Deputy Dean (2016-21) and Director of Research (2014-2019) in the Business School and the Director of the Credit Research Centre (1997-2021).  He has been a joint Editor in Chief of the Journal of the Operational Research Society (2010-2019).

Jonathan is an External Research Fellow of the Centre for Finance, Credit and Macroeconomics at the University of Nottingham,  a Fellow of the Royal Society of Edinburgh and a Fellow of the Academy of Social Sciences. He  currently has a Leverhulme Emeritus Fellowship. He is a member of the Editoiral Board of the European Journal of Operational Research  and of the Editorial Board of the Journal of Credit Risk.

Research Taxonomy

Research Interests

He concentrates on two research areas.

  1. Modelling of credit risk and operational risk. This research is motivated by modelling and risk management problems that lenders and fintechs face with a view to developing innovations that enable risk to be managed more effectively.The credit risk work 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, the inclusion of macroeconomic variables in scoring models 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. The Economics of the consumer credit including the demand (consumption and finance models), the supply of credit and credit constraints using household level data. I also carry out research into household overindebtedness and issues in the feects of health shocks on credit demand.

Some recent publications include:

  • Calabrese, R. and Crook, J. (2020) Spatial Contagion in mortgage defaults: a survival approach. European Journal of Operational Research, 287(2), 749-761.
  • Wang, Z., Crook, J. & Andreeva, G. (2020) Reducing estiation risk using a Bayesian posterior approach: application to stress testing mortgagae portfolio loan default. European Journal of Operational Research, 272(8) 725-738.
  • 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.
  • Thomas, L., Crook, J. and Edelman, D. (2017) Credit Scoring and its Applications,(2nd edn)  Philadelphia: SIAM.
  • Xiao, Y., ., 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.

I am  working on the following research projects:

  • Household over-indebtedness and credit constraints (Leverhulme Emeritus Fellowship)
  • Stress testing and survival modelling
  • Credit scoring with alternative data
  • Other issues in credit scoring

I  currently supervise two PhD students: 

  • One with Galina Andreeva on intensity models for mortgage loans
  • One with Raffaella Calabrese on prediction of corporate upgrades and downgrades

Research Area