This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in … results suggest a positive impact of transition risk on stock returns and a negative one of physical risk, especially in the … short term. Further, while physical risk appears to have an immediate impact, transition risk is shown to affect stock …

−to−book ratio and total regulatory capital to risk−weighted asset ratio. Further, sizeable responses to CoCo bond and issuing bank …

−specific CoCo bond market concentration. Buyers are defined as having a preference for CoCo bonds if their return−to−risk is higher …−income instrument. Sellers prefer to issue CoCo bonds when they are not financially sound whilst buyers prefer CoCo bonds with low risk …; therefore, these two categories can be characterised as being risk−loving and risk−averse respectively, especially in the higher …

-performing loans during contractionary periods. The results indicate that the effects of a permanent shock to bad loans on the excess …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; liquidity risk ; credit risk ; stochastic volatility …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; Liquidity Risk ; Credit Risk ; Stochastic Volatility …