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Credit Markets & Credit Risk Management
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Credit Markets & Credit Risk Management

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

Deadline for manuscript submissions: 31 December 2024 | Viewed by 6115

Special Issue Editors

Prof. Dr. Kudret Topyan

E-Mail Website
Guest Editor
Department of Economics and Finance,Manhattan College, 4513 Manhattan College Parkway, Riverdale, NY 10471, USA
Interests: corporate structure; sustainable finance; financial innovation; emerging markets;, valuation; risk premium
Special Issues, Collections and Topics in MDPI journals
Dr. Chia Jane Wang

E-Mail Website
Guest Editor
O’Malley School of Business, Manhattan College, Riverdale, NY, USA
Interests: business finance

Special Issue Information

Dear Colleagues,

Over the last two decades, the global business field has experienced extraordinary events, such as the global financial crisis, supply chain disruptions, and geopolitical risks. In a post-COVID world with high inflation and uncertainty, financial market participants, including issuers, intermediaries, and investors, are adapting their business models to these changing conditions. Simultaneously, financial market structure changes, regulatory reforms, and technological advances have significantly impacted and shaped debt financing markets.

This Special Issue aims to present current theoretical and empirical research on credit markets and credit risk management, including innovative studies on bank and non-bank lending, credit risk analysis techniques, and the influence of ESG policies on credit risk management. Understanding these advancements is crucial for financial system stability, given the critical role of credit risk management for financial intermediaries.

Topics of interest include, but are not limited to:

  • Debt Financing;
  • Option-Adjusted Spreads;
  • Credit risk and liquidity risk;
  • ESG and credit risk;
  • Credit risk management;
  • Shadow banking;
  • Private credit;
  • Sovereign debt;
  • Securitization and structured products.

Prof. Dr. Kudret Topyan
Dr. Chia Jane Wang
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 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.

Keywords

  • credit risk and liquidity risk
  • ESG and credit risk
  • credit risk management
  • shadow banking
  • private credit
  • sovereign debt
  • securitization and structured products
  • debt financing
  • option-adjusted spreads

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

Published Papers (4 papers)

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Research

10 pages, 1731 KiB  
Article
Forecasting Credit Cycles: The Case of the Leveraged Finance Market in 2024 and Outlook
by Edward I. Altman
J. Risk Financial Manag. 2024, 17(8), 339; https://doi.org/10.3390/jrfm17080339 - 5 Aug 2024
Cited by 1 | Viewed by 779
Abstract
There are certain times in our economic and financial environments when it makes sense to assess carefully and dispassionately where we are in the credit cycle and how this cycle relates to the business cycle. Now, mid-2024, is one of those times, as [...] Read more.
There are certain times in our economic and financial environments when it makes sense to assess carefully and dispassionately where we are in the credit cycle and how this cycle relates to the business cycle. Now, mid-2024, is one of those times, as the economic uncertainties are at substantial levels. This note reflects my long history of studying credit cycles dating back to the early 1970s. My current assessment is that the Benign Credit Cycle we have enjoyed since 2010, with the exception of a few months in 2016 and early 2020, ended in 2023. We recently reached an inflection point for an average credit risk scenario. This assessment is based on an analysis of a number of historical indicators over the last 50 years. This conclusion is tempered by the possibility that the U.S. credit picture will continue its heightened risk trend toward a Stressed Scenario by the end of 2024, and combined with a “hard-landing” economic recession, we could witness another financial-credit crisis. Full article
(This article belongs to the Special Issue Credit Markets & Credit Risk Management)
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25 pages, 381 KiB  
Article
Strategic Deviation and Corporate Tax Avoidance: A Risk Management Perspective
by Ahsan Habib, Dinithi Ranasinghe and Ahesha Perera
J. Risk Financial Manag. 2024, 17(4), 144; https://doi.org/10.3390/jrfm17040144 - 4 Apr 2024
Viewed by 1556
Abstract
We examine the association between strategic deviation—defined as the deviation of firms’ resource allocation from that of industry peers—and corporate tax avoidance. By combining the agency perspective with the risk aspect, we argue that managers of firms with high strategic deviation avoid tax [...] Read more.
We examine the association between strategic deviation—defined as the deviation of firms’ resource allocation from that of industry peers—and corporate tax avoidance. By combining the agency perspective with the risk aspect, we argue that managers of firms with high strategic deviation avoid tax compared with those of firms with low strategic deviation. High-strategic-deviant firms who avoid tax are likely to face the risk of compromising firm value. Based on a large sample of 40,168 US firm-year observations for the period 1987–2020, we find evidence supporting our hypothesis. A series of robustness tests validates our main finding. We further provide evidence to suggest that the positive association between strategic deviation and tax avoidance is stronger for deviant firms with high financial constraints, low institutional ownership, firms operating in more competitive markets, and procuring higher auditor provided tax services from incumbent auditors. Importantly, we show that the capital market penalises tax avoidance strategies undertaken by the deviant firms. Full article
(This article belongs to the Special Issue Credit Markets & Credit Risk Management)
11 pages, 282 KiB  
Article
Credit Risk Management and US Bank-Holding Companies: An Empirical Investigation
by Kudret Topyan, Chia-Jane Wang, Natalia Boliari and Carlos Elias
J. Risk Financial Manag. 2024, 17(2), 56; https://doi.org/10.3390/jrfm17020056 - 31 Jan 2024
Viewed by 1669
Abstract
This paper empirically evaluates the impact of ownership structure on the cost of credit in US banks. It does so by comparing their grouped option-adjusted credit spreads on the outstanding debt issues. As the overall risk of the creditors is reflected in the [...] Read more.
This paper empirically evaluates the impact of ownership structure on the cost of credit in US banks. It does so by comparing their grouped option-adjusted credit spreads on the outstanding debt issues. As the overall risk of the creditors is reflected in the yield spread of the firms’ outstanding bonds, separately classifying bank-holding companies and stand-alone banks and controlling risk ratings, maturities, and issue sizes enables us to compare the yield spreads tied to ownership structure. After computing the option-adjusted yield spreads of outstanding operating and holding company bonds, we used these values in a master regression equation to test the statistical and economic significance of the binary variable separating the option-adjusted spreads of the two sets. Our work finds that when the S&P ranks and maturities are controlled, US bank-holding companies finances with higher cost of credit compared with stand-alone banks, although holding companies add a layer of liability protection due to the legal separation between the assets and the owners. This suggests that certain characteristics of US bank-holding companies, such as higher leverage and higher systematic risk levels, make them riskier compared with traditional stand-alone banks, offsetting the benefits of forming a holding company. Full article
(This article belongs to the Special Issue Credit Markets & Credit Risk Management)
9 pages, 389 KiB  
Article
Sovereign Debt Crisis and Fiscal Devolution
by Ryota Nakatani
J. Risk Financial Manag. 2024, 17(1), 9; https://doi.org/10.3390/jrfm17010009 - 22 Dec 2023
Viewed by 1558
Abstract
How is the probability of a sovereign debt crisis affected by fiscal devolution? Using annual cross-country panel data from 82 advanced and developing countries, the association between fiscal decentralization and the sovereign debt crisis is investigated. We adopt an instrumental variable probit model [...] Read more.
How is the probability of a sovereign debt crisis affected by fiscal devolution? Using annual cross-country panel data from 82 advanced and developing countries, the association between fiscal decentralization and the sovereign debt crisis is investigated. We adopt an instrumental variable probit model to address potential endogeneity. The research distinguishes between tax policies and spending policies. The results reveal that local tax autonomy reduces the probability of a sovereign debt crisis. In contrast, expenditure devolution is found to increase the probability of a sovereign debt crisis. These favorable and unfavorable effects of fiscal devolution are more evident in the case of decentralization to local governments than in the case of decentralization to subnational governments. In terms of relative magnitudes, our discrete choice analysis demonstrates that the undesirable effects of expenditure decentralization are greater than the desirable effects of tax revenue decentralization. Therefore, countries should be cautious about the risks associated with fiscal devolution, particularly the contrasting impact of tax revenue and spending decentralization on the likelihood that sovereign debt crises occur. Full article
(This article belongs to the Special Issue Credit Markets & Credit Risk Management)
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