We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

through the Merton model, extended with the inclusion of a redenomination risk proxy, as to say, the risk that Italy could … commonly recognized periods of socio-political and financial distress. Results show that the redenomination risk is …

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 …

, credit risk managers and financial regulators …

. Such spreads can arise in arbitrage-free models and depend on the risk of a jump in the exchange rate upon default of the … underlying and the covariance between the exchange rate and default risk. We develop a model that separates the contribution of …

) premia. Protection buyers earn a statistically significant and economically important discount for bearing the risk of … calm and crisis periods as we find liquidity risk to be a priced factor in CDS spreads only during the recent financial … from structural models of default risk …