We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and … measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads …

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that … carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies … to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments …

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS … second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

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 …