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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …
Persistent link: https://www.econbiz.de/10013417581
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023
Persistent link: https://www.econbiz.de/10013502606
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Dynamic credit default swaps curves in a network topology
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016
Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...
Persistent link: https://www.econbiz.de/10011579056
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Dynamic credit default swap curves in a network topology
Xu, Xiu; Chen, Yi-Hsuan; Härdle, Wolfgang - In: Quantitative finance 19 (2019) 10, pp. 1705-1726
Persistent link: https://www.econbiz.de/10012194818
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Business cycle and credit risk modeling with jump risks
Jang, Bong-Gyu; Rhee, Yuna; Yoon, Ji Hee - In: Journal of empirical finance 39 (2016), pp. 15-36
Persistent link: https://www.econbiz.de/10011663259
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Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps
Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - In: Research in international business and finance 70 (2024) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10015055853
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Banking stress test effects on returns and risks
Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - 2014
Persistent link: https://www.econbiz.de/10010343579
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Banking stress test effects on returns and risks
Sahin, Cenkhan; Haan, Jakob de; Neretina, Ekaterina - In: Journal of banking & finance 117 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012495750
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344