A credit default swap (CDS) enables a lender to hedge its risk exposure on a loan given to reference client. The lender … investments in risky, positive NPV projects at pre CDS levels. This action, however, also results in higher bankruptcy risk. Our …

corporate bonds with similar credit risk. This study aims to analyze whether this return difference is captured by asset pricing … factors. We show that market risk is the predominant risk factor for both corporate bonds and CLOs. CLO investors, however …, additionally demand a premium for their risk exposure towards systemic risk. This premium is inversely related to the rating class …

Using a large sample of firms with single-name credit default swap (CDS) contracts in 30 countries, we document the … evidence that political uncertainty, proxied by national election dummy, is positively related to firm-level credit risk … affects the credit risk of individual firm …

-implied credit risk across various time horizons. Findings show that firms with higher GHG emissions have higher CDS spreads at all … exposure to transition risk for a firm across different time horizons. However, it fails to account for a company’s efforts to … to risk-differentiate ETS-participating firms from other firms …

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 …

the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk …

. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW … risk. We find that the bond purchase programs by central banks considerably lowered credit spreads. Also, the credit spread …

’s investments. As a result, aggregated risk statements provide market information about new and evolving risks over and above the … insights to be gleaned from any single risk disclosure. But disclosures’ utility comes not from their superior ability to …’ perception of market risks in the aggregate. We evaluate our thesis through an analysis of all U.S. mutual funds’ narrative risk …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Climate change can be a source of financial risk. This paper examines how credit rating agencies accepted by the … Eurosystem incorporate climate change risk in their credit ratings. It also analyses how rating agencies disclose their … change risk, the transparency around models and methods used to estimate the exposure to climate change risk and the …