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 …

This paper examines whether the tone of corporate textual disclosures related to risk and uncertainty conveys relevant … information to the credit default swap (CDS) market. Prior studies largely focus on the amount of risk disclosures and provide … inconclusive evidence on the usefulness of risk disclosures for investors in assessing firm risk. Using a large sample of textual …

how the climate-related transition risk of a European large corporate firm relates to its CDS-implied credit risk for … different time horizons. I find that firms with higher GHG emissions have higher CDS-implied credit risk, even at the 30-year … some extent the exposure to transition risk of a firm at different time horizons, but ignores a firm’s transition risk …

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 …

We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a … structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about … climate risks. The model predicts a negative relation between the informativeness of climate risk disclosure and the CDS …

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 …

sovereign credit and country risk. …

An important research question examined in the credit risk literature focuses on the proportion of corporate yield … spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the … estimated default risk proportion in corporate yield spreads is highly sensitive to the ex-ante estimated term structure of …