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

Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - 2020

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, depending on whether disclosure reveals new risks or...

Persistent link: https://www.econbiz.de/10012487823

Robust and sparse banking network estimation

Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra - In: European journal of operational research : EJOR 270 (2018) 1, pp. 51-65

Persistent link: https://www.econbiz.de/10011868914

How credit ratings affect sovereign credit risk : cross-border evidence in Latin American emerging markets

Ballester, Laura; González-Urteaga, Ana - In: Emerging markets review 30 (2017), pp. 200-214

Persistent link: https://www.econbiz.de/10011803129

Mispricing of sovereign risk and investor herding in African debt markets

Morsy, Hanan; Moustafa, Eman - 2020

Persistent link: https://www.econbiz.de/10012220650

On becoming an O-SII ("Other Systemically Important Institution")

Andrieş, Alin Marius; Nistor, Simona; Ongena, Steven; … - In: Journal of banking & finance 111 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012221067

ECB monetary policy and bank default risk

Soenen, Nicolas; Vander Vennet, Rudi - In: Journal of international money and finance 122 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013433381

ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk

Katsampoxakis, Ioannis - In: EuroMed journal of business 17 (2022) 2, pp. 218-245

Persistent link: https://www.econbiz.de/10013362444

The impact of coronavirus pandemic on the stock market reaction in the banking sector : the role or regulatory and supervisory framework across European Union members

Bobiceanu, Andreea Maura; Nistor, Simona - In: The review of economic and business studies : REBS 14 (2021) 2, pp. 41-64

Persistent link: https://www.econbiz.de/10013366889

Cross-border M&As and credit risk : evidence from the CDS market

Ismailescu, Iuliana; Col, Burcin - In: Journal of empirical finance 66 (2022), pp. 51-73

Persistent link: https://www.econbiz.de/10013370592

Exchange rates and sovereign risk

Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik; … - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 5591-5617

Persistent link: https://www.econbiz.de/10013370992