Special Issue "Risk and Financial Instability"

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 (30 April 2019).

Special Issue Editors

Prof. Dr. Jacky Yuk-chow So
E-Mail Website
Guest Editor
Dean and BNU Chair Professor, Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, Taipa, Macau, China
Tel. +853 8397 4726; Fax: +853 2883 8320
Interests: risk management; banking; international finance; corporate finance
Prof. Dr. Zhuo Qiao
E-Mail Website
Guest Editor
Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Avenida Padre Tomas Pereira, Taipa, Macau, China
Tel. +853 8397 4166
Interests: financial economics; corporate finance; applied econometrics

Special Issue Information

Dear Colleagues,

During the last few decades, many countries have experienced a bout of severe financial instability that had created devastating impacts on the global economy. How to reduce the systemic risk within a country and/or for all countries around the world, how to cope with it, etc., are critical questions raised by most academics, practitioners and policy makers. This Special Issue aims to collect the latest theoretical and empirical advances in research area of risk modelling and risk management related to the causes, propagation and preventions of financial instability in banking industry, securities market, foreign exchange market and payment system and so on, both within and across countries. Topics of interest include, but are not limited to: Measuring and modelling risk, stress testing, tools and techniques for financial stability monitoring, financial innovation and financial instability, policy uncertainty, roles of macroprudential tools and monetary policy for financial stability.

Prof. Dr. Jacky Yuk-chow So
Prof. Dr. Zhuo Qiao
Guest Editors

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.

Keywords

  • Risk modelling and risk management
  • Financial crisis
  • Financial regulation
  • Financial innovation

Published Papers (1 paper)

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Research

Open AccessArticle
Credit Rating and Pricing: Poles Apart
J. Risk Financial Manag. 2018, 11(2), 27; https://doi.org/10.3390/jrfm11020027 - 23 May 2018
Cited by 1
Abstract
Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can vary substantially. As I demonstrate in a Monte Carlo analysis, highly-rated [...] Read more.
Corporate credit ratings remove the information asymmetry between lenders and borrowers to find an equilibrium price. Structured finance ratings, however, are informationally insufficient because the systematic risk of equally rated assets can vary substantially. As I demonstrate in a Monte Carlo analysis, highly-rated structured finance bonds can exhibit far higher non-linear systematic risks than lowly-rated corporate bonds. I value credit instruments under a four-moment CAPM, between and within some markets there is no one-to-one relation between expected loss (rating) and credit spread (pricing). The linear CAPM beta is insufficient, buyers and sellers need also the same information on non-linear risk to have an equilibrium. Full article
(This article belongs to the Special Issue Risk and Financial Instability)
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