-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 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 …

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 …

This article studies the economic factors behind corporate default risk premia in Europe during the period 2006 …–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the … creditworthiness of the bond issuer from their remuneration for the risk that the bond's price will drop in the event of default. Our …

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk … factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …, this study finds that the eigenstructures across the three subperiods are distinct and the determinants of risk factors …

This paper examines the impact of cross-border acquisition announcements on the U.S. bidders’ credit risk. On average …, we find a significant increase in bidders’ rating-adjusted credit default swap (CDS) spreads around an acquisition …’ credit risk around announcements of majority but not full control EM acquisitions to the weaker legal environment and …

Using a large sample of firms with single-name credit default swap (CDS) contracts in 30 countries, we document the … evidence that political uncertainty, proxied by national election dummy, is positively related to firm-level credit risk … affects the credit risk of individual firm …

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 …