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 … to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments …

representative agent is prudent (u ' > 0), because of the increased risk that it yields for the distant future. A similar definition …-Ingersoll-Ross model, with the opposite comparative static property holding under temperance (u ' < 0), because the change in downside risk …

bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase … two signals depends on the transparency of the country. Greater transparency reduces risk premia. The empirical results … confirm the hypotheses. Creative accounting increases the spread. The increase of the risk premium is stronger if financial …

probabilities are adjusted for risk, the two approaches are identical. What we would wish a reader to take away from this paper is …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the U.S. Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …