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 …

-implied credit risk across various time horizons. Findings show that firms with higher GHG emissions have higher CDS spreads at all … exposure to transition risk for a firm across different time horizons. However, it fails to account for a company's efforts to … to risk-differentiate ETS-participating firms from other firms. …

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 …

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 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 …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

corporate bonds with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing … factors. We show that market risk is the predominant risk factor for both corporate bonds and CLOs. CLO investors, however …, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class …