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Advances in Fixed Incomes and Risk Management
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Advances in Fixed Incomes and Risk Management

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: closed (1 May 2023) | Viewed by 3542

Special Issue Editor

Prof. Dr. Weiping Li

E-Mail Website
Guest Editor
1. Institute of Data Science and Behavior Science, Civil Aviation Flight University of China, Guanghan 618307, China
2. Department of Finance, Oklahoma State University, Stillwater, OK 74078, USA
Interests: dynamic asset pricing; fixed income and its derivatives; corporate finance; credit risk and risk management

Special Issue Information

Dear Colleagues,

To understand the sophisticated fixed-incomes market from both academic and portfolio management perspectives, we invite researchers and practitioners to contribute original research articles and investment strategies, both theoretical and practical in nature, related to fixed incomes for all bond instruments and structured products under regulations, monetary policy, new technology, and pandemics.

Articles on bond portfolios, interest rate strategies and interest rate risk, credit risk, structured products, and the cutting edge of fixed-income markets are welcome for submission.

All submissions must contain original unpublished work that is not under consideration for publication elsewhere.

Prof. Dr. Weiping Li
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.

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Further information on MDPI's Special Issue policies can be found here.

Published Papers (1 paper)

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Research

17 pages, 4851 KiB  
Article
Does Geopolitical Risk Matter for Sovereign Credit Risk? Fresh Evidence from Nonlinear Analysis
by Nader Naifar and Shumokh Aljarba
J. Risk Financial Manag. 2023, 16(3), 148; https://doi.org/10.3390/jrfm16030148 - 22 Feb 2023
Cited by 7 | Viewed by 3135
Abstract
The recent geopolitical uncertainty and the alarming increase in the sovereign credit risk of many countries have motivated us to investigate the potential asymmetric co-movement between geopolitical risk and sovereign credit risk for nineteen countries (China, Russia, USA, Brazil, UK, South Korea, Mexico, [...] Read more.
The recent geopolitical uncertainty and the alarming increase in the sovereign credit risk of many countries have motivated us to investigate the potential asymmetric co-movement between geopolitical risk and sovereign credit risk for nineteen countries (China, Russia, USA, Brazil, UK, South Korea, Mexico, Saudi Arabia, Turkey, Sweden, Spain, Norway, Italy, Morocco, France, Bahrain, Abu Dhabi, Japan, and Greece). Using data consisting of Sovereign Credit Default Swap (SCDS), Geopolitical Risk (GPR), and the Quantile-on-Quantile approach (QQA), empirical findings indicate that (i) the effects of GPR on SCDS were heterogeneous, mainly positive, asymmetric, and varied across quantiles and countries; (ii) when the SCDS and GPR are both in upper quantiles, the impacts of GPR are more pronounced; (iii) the countries with the most significant sovereign wealth funds (Norway, China, Saudi Arabia) are less affected by geopolitical uncertainty. Full article
(This article belongs to the Special Issue Advances in Fixed Incomes and Risk Management)
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