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The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...

Persistent link: https://www.econbiz.de/10013093081

Liquidity and credit risks in the UK's financial crisis : how "quantitative easing" changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016

This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....

Persistent link: https://www.econbiz.de/10011688262

Liquidity and credit risks in the UK's financial crisis : how 'quantitative easing' changed the relationship

Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; … - In: Applied economics 51 (2019) 3, pp. 278-287

Persistent link: https://www.econbiz.de/10012160500

Pricing ethics in the foreign exchange market : Environmental, Social and Governance ratings and currency premia

Filippou, Ilias; Taylor, Mark P. - In: Journal of economic behavior & organization : JEBO 191 (2021), pp. 66-77

Persistent link: https://www.econbiz.de/10013185163

Modelling CDS volatility at different tenures: an application for Latin-American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - 2022

Persistent link: https://www.econbiz.de/10013327085

ESG management and credit risk premia: evidence from credit default swaps for Japan's major companies

Inaba, Kei-Ichiro; Hatakeyama, Yuji - 2022

Persistent link: https://www.econbiz.de/10013368801

Empirical study on relationship between corporate social responsibility and financial performance in Korea

Han, Jae Joon; Kim, Hyun Jeong; Yu, Jeongmin - In: Asian journal of sustainability and social responsibility 1 (2016) 2, pp. 61-76

activities. One of the widely recognized measures to proxy CSR is the Environmental, Social, and Governance (ESG) score. This … of 2008 ~ 2014. We use three separate individual Environmental, Social and Corporate Governance (ESG) disclosure scores … Return for the FP measures. We found that the ESG disclosure scores (the measures of environmental, social, and governance …

Persistent link: https://www.econbiz.de/10011854697

The term structure of expected recovery rates

Doshi, Hitesh; Elkamhi, Redouane; Ornthanalai, Chayawat - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2619-2661

Persistent link: https://www.econbiz.de/10012128871

The Term Structure of Expected Recovery Rates

Doshi, Hitesh - 2018

There is widespread agreement that corporate debts' recovery rates are time-varying, but empirical work in this area is limited. We show that the joint information from the term structure of senior and subordinate credit default swaps can identify the level and the dynamics of recovery rates. We...

Persistent link: https://www.econbiz.de/10012913714

Non-default component of sovereign emerging market yield spreads and its determinants : evidence from the credit default swap market

Küçük, Ugur N. - In: The journal of fixed income 19 (2009/10) 4, pp. 44-66

Persistent link: https://www.econbiz.de/10003970353