Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

A credit default swap (CDS) is a derivative financial instrument that provides insurance against credit risk. CDSs on subprime Asset Backed Securities (ABSs) paved the way for securitizers to hedge the credit risk of the underlying subprime loans during the onset of the Global Financial Crisis...

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

The COVID-19 pandemic has adversely influenced economies around the world through supply and demand channels. The increasing uncertainty and the decreasing demand due to the strict social measures of the government to cushion the spread of the pandemic have transformed COVID-19 from a health...

We introduce a Credit Rating Agency (CRA) to a consumption-based model to explain the time-series variation of credit spreads on CDO tranches. Practising Bayesian persuasion, the CRA controls the type-II error of ratings to maximize the proportion of investment-grade rated firms while attempting...