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Firm-specific risk-neutral distributions with options and CDS

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 7018-7033

Persistent link: https://www.econbiz.de/10013373168

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - In: Journal of international money and finance 128 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013438377

The impact of sovereign credit rating news on credit default swap spreads

Gürsoy, Övünç; Avcı, Emin - In: Journal of East-West business 29 (2023) 2, pp. 97-113

Persistent link: https://www.econbiz.de/10014289407

Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps

Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - 2023

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using information on the vulnerability of a firm's value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor shifts...

Persistent link: https://www.econbiz.de/10014230422

Ask BERT : how regulatory disclosure of transition and physical climate risks affects the CDS term structure

Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - In: Journal of financial econometrics 22 (2024) 1, pp. 30-69

Persistent link: https://www.econbiz.de/10014526303

Pricing transition risk with a jump-diffusion credit risk model : evidences from the CDS market

Livieri, Giulia; Radi, Davide; Smaniotto, Elia - In: Review of corporate finance 4 (2024) 1/2, pp. 177-201

Persistent link: https://www.econbiz.de/10014554016

Credit default swaps and corporate carbon emissions in Japan

Okimoto, Tatsuyoshi; Takaoka, Sumiko - In: Energy economics 133 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015048245

The information content of stress test announcements

Guerrieri, Luca; Modugno, Michele - In: Journal of banking and finance 160 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015065725

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015063189