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Pricing climate transition risk : evidence from European corporate CDS

Vozian, Katia; Costola, Michele - 2023

-implied credit risk across various time horizons. Findings show that firms with higher GHG emissions have higher CDS spreads at all … exposure to transition risk for a firm across different time horizons. However, it fails to account for a company's efforts to … to risk-differentiate ETS-participating firms from other firms. …

Persistent link: https://www.econbiz.de/10014283743

The role of disclosure in green finance

Steuer, Sebastian; Tröger, Tobias - 2021

We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline to achieve socially optimal climate targets. We categorize the transparency...

Persistent link: https://www.econbiz.de/10012608032

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017

improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a …

Persistent link: https://www.econbiz.de/10011662132

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: November 5, 2017

better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR …This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …

Persistent link: https://www.econbiz.de/10012062097

Safe asset shortage and collateral reuse

Jank, Stephan; Mönch, Emanuel; Schneider, Michael - 2022

The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little...

Persistent link: https://www.econbiz.de/10013328308

The oscillating domains of public and private markets

Gözlügöl, Alperen Afşin; Greth, Julian; Tröger, Tobias - 2023

We contribute to the debate about the future of capital markets and corporate finance, which has ensued against the background of a significant boom in private markets and a corresponding decline in the number of firms and the amount of capital raised in public markets in the US and Europe. Our...

Persistent link: https://www.econbiz.de/10014239858

Pricing climate transition risk: evidence from European Corporate CDS

Vozian, Katia; Costola, Michele - 2023

-implied credit risk across various time horizons. Findings show that firms with higher GHG emissions have higher CDS spreads at all … exposure to transition risk for a firm across different time horizons. However, it fails to account for a company’s efforts to … to risk-differentiate ETS-participating firms from other firms …

Persistent link: https://www.econbiz.de/10014348585

Partial information about contagion risk, self-exciting processes and portfolio optimization

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2013 - This version: April 18, 2013

This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive...

Persistent link: https://www.econbiz.de/10010226651

Preference evolution and the dynamics of capital markets

Curatola, Giuliano - 2016

This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that...

Persistent link: https://www.econbiz.de/10011440209

International capital markets with time-varying preferences

Curatola, Giuliano; Dergunov, Ilya - 2017

We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...

Persistent link: https://www.econbiz.de/10011698927