Determining credit risk is important for banks and non-banks alike. For credit risk management, the heterogeneous data generated today can potentially complement the established data such as balance sheet ratios. It has not yet been clearly shown which alternative data sources, such as social media or satellite data, provide added value and how this value can be extracted effectively. This review provides an overview of the intersection between these areas and develops a research agenda. The analysis of the 29 identified papers shows that the use of financial news is analyzed most frequently. Social media has also been used to some extent. The use of other alternative data sets, such as geospatial data, has been analyzed infrequently. The empirical evidence suggests that alternative data can provide both explanatory and predictive benefits in credit risk management. Convergence in terms of analytical approaches and evaluation offers the potential to advance the field.