Forthcoming articles


International Journal of Financial Engineering and Risk Management


These articles have been peer-reviewed and accepted for publication in IJFERM, but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.


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International Journal of Financial Engineering and Risk Management (3 papers in press)

Special Issue on: Behavioural Finance and Decision-Making in Financial Markets

  • Racial Discrimination in TARP Investments   Order a copy of this article
    by Lucas Puente, Linus Wilson 
    Abstract: Minority and black owned banks were significantly less likely to receive funds from the Troubled Asset Relief Program (TARP) Community Development Capital Initiative (CDCI). A non-minority bank with the median characteristics was approximately ten times more likely to obtain TARP funds than an African American owned bank after controlling for other factors. We also find prior TARP recipients and banks with fewer troubled assets were more likely to obtain money from this program.
    Keywords: Barney Frank; bailout; CDCI; CDFI; Community Development Capital Initiative; Community Development Financial Institution; discrimination; ethics; EESA; Emergency Economic Stabilization Act; Maxine Waters; minority ownership; OneUnited bank; politics; preferred stock; race; racial discrimination; subordinated debt; U.S. House Financial Services Committee; TARP.

  • Determinants of Mortgage Arrears: The case of Buy to Let   Order a copy of this article
    by Alexios Makropoulos 
    Abstract: This paper considers an error correction modelling (VECM) approach to identify determinants of mortgage portfolio arrears in the Buy to Let (BTL) segment of the UK mortgage market. Within this context, the alternative theories of the ability to pay view and the equity view are tested for the particular segment of the UK mortgage market. The empirical results suggest that UK Buy to Let arrears are related to the dual-trigger approach where elements of the ability to pay view are combined with elements from the equity view to determine the aggregate arrears behaviour. From a behavioural perspective the results imply that borrowers decisions may be influenced from personal biases and optimism around the long-run affordability and equity returns of their (BTL) investment decisions. Likewise, the 2008 crisis provided some indication that lenders may be affected from similar biases when making lending decisions. These findings may therefore be of practical use for mortgage portfolio managers and decision makers when considering policies for the BTL segment of the UK mortgage market.
    Keywords: Credit risk; Buy to Let; BTL; mortgage arrears; mortgage defaults.

Special Issue on: Applications of Optimisation in Finance

  • Factor-Based Optimization and the Creation/Redemption Mechanism of Fixed Income Exchange-Traded Funds   Order a copy of this article
    by Bennett Golub, Maurizio Ferconi, Ananth Madhavan, Alex Ulitsky 
    Abstract: Fixed income exchange-traded funds (ETFs) trade on organized exchanges, often with narrow spreads, liquidity, and pre- and post-trade transparency. The remarkable success of fixed income ETFs relies critically on the efficient functioning of the ETF creation-redemption mechanism which helps drive the funds market price to stay closely in line with the underlying values of the bond portfolios they represent. Creation of fixed income ETFs faces challenges though because of the less liquid nature of the markets for many bonds. In this article, we explain how custom fixed income baskets can be used with exchange-traded funds in a systematic, auditable, and repeatable manner. We use factor-based optimization to create ETF baskets for one or more ETFs and with one or many counter-parties. We conclude that optimization can improve the efficiency of ETF basket creation, which in turn induces higher liquidity and tighter spreads, benefitting investors.
    Keywords: Fixed Income; ETFs; Factors.