Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

tight and stable in the weeks preceding the intensification of the crisis. Firstly, the packages induced a decrease in risk … spreads for banks at the expense of a marked increase in risk spreads for governments. Secondly, we show that in addition to … this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads …

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

towards greener technologies and are robust to controlling for banks' climate risk discussions. Examining the mechanisms …

European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and … country. Finally, we evaluate the effect of diversification requirements on the tail risk of sovereign bond portfolios. Under …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

This paper explores how the need to transition to a low-carbon economy influences firm credit risk. It develops a novel … forward-looking emission reduction targets, thereby providing a rich picture of firms' climate-related transition risk … firms' credit risk: credit ratings and the market-implied distance-to-default. High emissions tend to be associated with …

credit risk. This article presents this evidence and provides a theoretical explanation which refers to the funding liquidity … risk of lenders in unsecured term money markets. -- Liquidity premium ; interbank money markets ; unsecured lending ; 2007 …