Special Issue "Corporate Debt"

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

Deadline for manuscript submissions: 30 November 2019.

Special Issue Editor

Prof. Dr. Xing (Alex) Zhou
E-Mail Website
Guest Editor
Principal Economist, Board of Governors of the Federal Reserve System, Washington, DC, USA
Interests: corporate debt market structure; liquidity; market efficiency; credit rating

Special Issue Information

Dear Colleagues,

Over the last decade, market structure changes, regulatory reforms, and technological advances have had substantial impact on corporate bond markets and their liquidity. Market participants, including issuers, intermediaries and investors, are evolving their business models to adapt to changes in market conditions. Regulators are seeking to improve the structure of corporate bond markets to effectively serve the needs of market participants. While a growing body of research has helped our understanding of this historically opaque market, many questions remain open. The aim of this Special Issue is to present latest theoretical and empirical advances in research to stimulate and foster discussions on corporate debt. General topics of interest include, but are not limited to:

  • Credit risk models
  • Corporate bond liquidity and market quality
  • Financial crisis, post-crisis regulation and systemic risk
  • Debt financing and capital structure decisions
  • Institutional holdings and trading activities
  • Market liquidity and funding liquidity
  • Trading networks
  • Credit ratings
Prof. Dr. Xing (Alex) Zhou
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 papers will be 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 quarterly 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 1000 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 (3 papers)

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Research

Open AccessFeature PaperArticle
Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds
J. Risk Financial Manag. 2019, 12(2), 86; https://doi.org/10.3390/jrfm12020086 - 13 May 2019
Cited by 1
Abstract
This paper studies the link between secondary market liquidity for a corporate bond and the bond’s yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically [...] Read more.
This paper studies the link between secondary market liquidity for a corporate bond and the bond’s yield spread at issuance. Using ex-ante measures of expected liquidity at the time of issuance, based on the characteristics of the underwriting syndicate, we find an economically large impact of liquidity on yield spreads. We estimate that a 10% increase in expected liquidity implies a decrease in the yield spread at issuance of between 8% and 14%. Our results suggest that liquidity has an important effect on firms’ cost of capital, and they contribute to the literature which examines the impact of liquidity on asset prices. Full article
(This article belongs to the Special Issue Corporate Debt)
Open AccessArticle
On a New Corporate Bond Pricing Model with Potential Credit Rating Change and Stochastic Interest Rate
J. Risk Financial Manag. 2018, 11(4), 87; https://doi.org/10.3390/jrfm11040087 - 06 Dec 2018
Abstract
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the [...] Read more.
In this paper, we consider a new corporate bond-pricing model with credit-rating migration risks and a stochastic interest rate. In the new model, the criterion for rating change is based on a predetermined ratio of the corporation’s total asset and debt. Moreover, the rating changes are allowed to happen a finite number of times during the life-span of the bond. The volatility of a corporate bond price may have a jump when a credit rating for the bond is changed. Moreover, the volatility of the bond is also assumed to depend on the interest rate. This new model improves the previous existing bond models in which the rating change is only allowed to occur once with an interest-dependent volatility or multi-ratings with constant interest rate. By using a Feynman-Kac formula, we obtain a free boundary problem. Global existence and uniqueness are established when the interest rate follows a Vasicek’s stochastic process. Calibration of the model parameters and some numerical calculations are shown. Full article
(This article belongs to the Special Issue Corporate Debt)
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Open AccessArticle
Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
J. Risk Financial Manag. 2018, 11(4), 74; https://doi.org/10.3390/jrfm11040074 - 29 Oct 2018
Cited by 2
Abstract
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the [...] Read more.
This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar maturity into country, credit and duration risk premia components via dummy regressions. We highlight three main findings. First, the initial phase of the financial crisis (2008–2009) caused an overall increase in credit risk premia. Since the beginning of 2013 credit risk premia are back to levels comparable to those preceding the financial crisis. Second, at the height of the euro area sovereign crisis (2011–2012), high credit risk premia were accompanied by strong and persistent signs of market fragmentation in Italy and Spain (but not in France). This fragmentation has reached its peak in the second half of 2012 and has started to recede only after the announcement of the OMT. Third, we provide a simple measure of financial integration across the big 4 member states of the euro area. Full article
(This article belongs to the Special Issue Corporate Debt)
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