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 …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors … factor models. -- credit default swaps ; common factors ; credit risk …

that lenders offered more and more loans to higher-risk borrowers which inevitably drove much higher subprime mortgage … swaps. In particular, issuers and investors in MBS could hedge the credit risk of the subprime loans underlying these … securities with CDS contracts. In this way, MBS market participants could limit their exposure to the risk of securitized loans …

This article studies the economic factors behind corporate default risk premia in Europe during the period 2006 … creditworthiness of the bond issuer from their remuneration for the risk that the bond's price will drop in the event of default. Our … results show that the risk premia associated with systematic factors influencing default arrivals represent approximately 40 …

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 …

-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. …

capture the global correlation structure. We study implications on the credit risk transmission and contagion risk. We find … four main results: (i) credit risk transmission is through the cross-correlation at regional rather than sectoral level … news; (iii) autocorrelation reduces the contagion risk in Asia while has little impact on other regions; (iv) contagion …