We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and … measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads …

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 …

issuers, we provide evidence to support a statistically significant negative downgrade risk premium in excess returns …, suggesting that stocks at higher risk of failure tend to deliver lower returns. The performance of the model remains robust …

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 …

While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …

concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … methodologies, which are solely based on estimates of real-world payoff prospects and thus do not capture risk premia. We also show …

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 …

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 …