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Financial Risk Model
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Financial Risk Model

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Risk".

Deadline for manuscript submissions: closed (31 December 2021) | Viewed by 7270

Special Issue Editor

Dr. Adrian Cantemir Calin

E-Mail Website
Guest Editor
Institute for Economic Forecasting, Romanian Academy, Bucharest University of Economic Studies, Bucharest, Romania
Interests: financial markets; asset pricing; monetary policy; credit risk; volatility modeling; financial econometrics; economic forecasting; risk management
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Deficient risk management has been considered by many to be one of the main drivers of the financial crisis of 2007–2009. The intricate interconnectedness of the contemporary financial system chains financial institutions together to an unprecedented extent, such that the problems faced by one institution due to excessive risk-taking can swiftly spread to others, creating systemic threats. The increasing challenges of the financial industry translate into the need for new instruments for measuring and managing financial risks capable of supporting solid decision-making processes within the current regulatory framework. Moreover, the existing modeling apparatus needs to be extended in order to accommodate the emergence of new financial products and services or new technologies such as artificial intelligence and big data analysis.

Given the abovementioned facts, this Special Issue aims to attract original contributions dealing with current advances in financial modeling and their applications in all fields of finance.

We encourage submissions that are related, but not limited, to the following topics:

  • Market risk
  • Credit risk
  • Systemic risk
  • Model risk
  • Liquidity risk
  • Financial risk management and analysis
  • Forecasting of financial distress
  • Market dynamics and prediction
  • Issues relating to domestic and international financial stability
  • Macroprudential policies and supervision

Dr. Adrian Cantemir Calin
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Published Papers (2 papers)

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Research

21 pages, 3061 KiB  
Article
Modeling Credit Risk: A Category Theory Perspective
by Cao Son Tran, Dan Nicolau, Richi Nayak and Peter Verhoeven
J. Risk Financial Manag. 2021, 14(7), 298; https://doi.org/10.3390/jrfm14070298 - 1 Jul 2021
Cited by 3 | Viewed by 2930
Abstract
This paper proposes a conceptual modeling framework based on category theory that serves as a tool to study common structures underlying diverse approaches to modeling credit default that at first sight may appear to have nothing in common. The framework forms the basis [...] Read more.
This paper proposes a conceptual modeling framework based on category theory that serves as a tool to study common structures underlying diverse approaches to modeling credit default that at first sight may appear to have nothing in common. The framework forms the basis for an entropy-based stacking model to address issues of inconsistency and bias in classification performance. Based on the Lending Club’s peer-to-peer loans dataset and Taiwanese credit card clients dataset, relative to individual base models, the proposed entropy-based stacking model provides more consistent performance across multiple data environments and less biased performance in terms of default classification. The process itself is agnostic to the base models selected and its performance superior, regardless of the models selected. Full article
(This article belongs to the Special Issue Financial Risk Model)
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30 pages, 1184 KiB  
Article
Financial Risk and Better Returns through Smart Beta Exchange-Traded Funds?
by Jordan Bowes and Marcel Ausloos
J. Risk Financial Manag. 2021, 14(7), 283; https://doi.org/10.3390/jrfm14070283 - 22 Jun 2021
Cited by 3 | Viewed by 3581
Abstract
Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk–return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market indices remains [...] Read more.
Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk–return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market indices remains relatively scarce. There is a lack of empirical evidence enforcing this phenomenon. Extending the work of Glushkov (“How Smart are “Smart Beta” ETFs? …”, 2016), we provide a quantitative analysis of the performance of 145 EU-domicile SB ETFs over a 12 year period, from 30 December 2005 to 31 December 2017, belonging to 9 sub-categories. We outline which criteria were retained such that the investigated ETFs had at least 12 consecutive monthly returns data. We consider three models: the Sharpe–Lintner capital asset pricing model, the Fama–French three-factor model, and the Carhart four-factor model, discussed in the literature review sections, in order to assess the factor exposure of each fund to market, size, value, and momentum factors, according to the pertinent model. In order to do so, the sample of SB ETFs and benchmarks underwent a series of numerical assessments in order to aim at explaining both performance and risk. The measures chosen are the Annualised Total Return, the Annualised Volatility, the Annualised Sharpe Ratio, and the Annualised Relative Return (ARR). Of the sub-categories that achieved greater ARRs, only two SB categories, equal and momentum, are able to certify better risk-adjusted returns. Full article
(This article belongs to the Special Issue Financial Risk Model)
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