Models of capital structure and credit risk make predictions about market valuations of debt, but are routinely tested …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

risk through screening at origination and monitoring after origination, but is subject to moral hazard. We show that the …

-grade bonds suggesting that ETFs reduce the possibility to diversify liquidity risk. In contrast, and unlike for equities, mutual …

improvement of the targeted ESG score without reducing the risk-adjusted performance but with significant biases in regional …, sectoral, and risk factor exposures. We find that screening is very often associated with a substantial improvement in the risk … profile. In particular, ESG-tilted portfolios lead to large negative exposure (i.e., protection) to credit risk. Screening …