Building on recent work incorporating recovery risk into structural models by Cohen & Costanzino (2015), we consider … the Black-Cox model with an added recovery risk driver. The recovery risk driver arises naturally in the context of … Recovery Black-Cox model, whereby the asset risk driver At defines the default trigger and the recovery risk driver Rt defines …

We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from …, private recapitalization, or bail-in. The measure enhances the observed CDS spreads with a risk premium that derives from …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …

Carbon risk, a type of climate risk, is expected to have a crucial impact, especially on high … initiatives, this transition risk will certainly need to be incorporated into a firm' credit risk assessment. In this paper, we … explore the impact of the carbon risk factor, constructed as the daily median difference in default protection between …

Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in … them together. As these CDS spreads are an important input for financial systemic risk, there are at least two policy … implications. First, in monitoring systemic risk, policymakers should focus on long-run trends rather than short-run fluctuations …

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk … component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after … detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more …

“desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk …-free investments and subject to the risk measure used, they can provide attractive investment opportunities for investors. We …

its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a … stochastic liquidity discount factor model to evaluate the liquidity risk premium and its term structure in China’s corporate …

We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The …

This paper aims to research the topics related to risk included in non-financial disclosure (NFD) of companies listed … on the Warsaw Stock Exchange (WSE) and explore factors that influence the risk topics ratio in NFD. We applied a content … analysis using topic modeling to discover latent risk topics in NFD. Next, with Ward's clustering, we identified four groups of …