its MDB rating process. The results are compared with those implied by an industry-standard, ratings-based Credit Risk … that S&P's approach is highly conservative in its evaluation of single name concentration risk and makes insufficient … allowance for PCS. Calibrating the CRM with risk-neutral distributions, the paper examines the effect of PCS on MDB funding …

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using … risk (CTR) factor, and document how this factor shifts the term structure of the CDS spreads of more vulnerable firms but … that they have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

increase expected recovery rates on collateral. Using unique data that provides ex-ante appraised liquidation values on secured … that movable collateral, which is less redeployable, susceptible to agency problems, and faster to depreciate, exhibits …