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

disclosure choices. CDSs enable lenders to hedge their credit risk exposure, weakening their incentives to monitor borrowers. We … disclosure when (1) lenders have higher ability and propensity to hedge credit risk using CDSs, and (2) lender monitoring …

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 examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock … effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and …

Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the … Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their … change risk, the transparency around models and methods used to estimate the exposure to climate change risk and the …

strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is consistent with a risk …-shifting hypothesis. Consistent with the risk-shifting hypothesis, we find that distressed firms tend to overinvest, destroy value, and … cases where CEOs receive above-average equity-based compensation. As default risk rises, credit spreads rise, equity betas …

a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital … requirement can outweigh the risk-reducing effect on equity of increased total capitalization. Empirically, we find that excess … capitalization is a significant determinant of equity risk, and can explain why bank equity risk has not become lower after the Great …

how this risk affects firms' creditworthiness. We discipline the exercise by using Credit Default Swap (CDS) spreads to …. We propose and implement a novel market-based measure of exposure to transition risk (transition risk factor) and examine … capture differential exposure to transition risk across economic sectors. We show that the transition risk factor is a …

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 …