We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from publicly traded banks, privately held institutions, and coöperative banks, extending...

The paper investigates CDS spreads reaction to the type of issued bonds, green or conventional. We use an event study based on the CDS spreads reaction for the green bond issuance. First, we find that there is a green bond effect. That is, CDS spreads decline when a green bond is issued,...

Financial institutions are subject to many sources of risk, where risk often represents the degree of uncertainty about future net returns. Credit Risk can result in potential loss due to the inability of a counterparty to meet its obligations and is a function of the credit exposure, the...

This thesis focuses on the mechanics of microfinance collateralized debt obligations (MiCDOs) and outlines crucial risk factors for international investors and microfinance institutions (MFIs), in contrast to already established collateralized debt obligations (CDO) and their rating systems. Due...

This paper explores whether different funding structures – including the source, instrument, currency, and counterparty location of funding – affected the extent of financial stress experienced in different countries and sectors during the early stages of the Covid-19 pandemic. We measure...

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using the information on the vulnerability of a firm’s value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor...

We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets. We develop four measures of centrality, namely, degree, betweenness, closeness, and eigenvector centralities, to detect...

The European low-carbon transition began in the last few decades and is accelerating to achieve net-zero emissions by 2050. This paper examines how climate-related transition indicators of a large European corporate firm relate to its CDS-implied credit risk across various time horizons....