The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects …, jump-to-default risk, and contagion risk. Stochastic re-covery rates as a source of systematic risk have not received much … that differently-ranking debt instruments of the same issuer face identical default risk but different default …

The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …