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 …

, which are disproportionately affected by climate change, raises significant concerns. This study shows that sovereign risk …. Countries with elevated risk levels are disproportionately vulnerable to climate change compared to their lower-risk … vulnerability to climate change, in terms of sovereign risk, particularly for countries with low spreads and long-term debt …

Cyclical systemic risk arises when macro-financial imbalances accumulate over time. Past financial crises which … occurred in several countries around the world have shown that heightened cyclical risk can lead to exorbitant economic and … indicator for cyclical risk for Malta developed by the Central Bank of Malta. This paper addresses this gap by building a …