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 …

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 …

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 …

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 …

Management risk occurs because uncertainty about future managerial decisions increases a firm's overall risk. This … paper documents the importance of management risk in determining firms' cost of borrowing. CDS spreads, loan spreads and … bond yield spreads all increase at the time of CEO turnover, when management risk is highest, and decline over the first …