Firm-level default models are important for bottom-up modeling of the default risk of corporate debt portfolios. However, models in the literature typically have several strict assumptions which may yield biased results, notably a linear effect of covariates on the log-hazard scale, no...

A number of papers document that recent machine learning models outperform traditional corporate distress models in terms of accurately ranking firms by their riskiness. However, it remains unanswered whether advanced machine learning models can capture correlations in distresses sufficiently...

Accurate probability-of-distress models are central to regulators, firms, and individuals who need to evaluate the default risk of a loan portfolio. A number of papers document that recent machine learning models outperform traditional corporate distress models in terms of accurately ranking...

Firm-level default models are important for bottomup modeling of the default risk of corporate debt portfolios. However, models in the literature typically have several strict assumptions which may yield biased results, notably a linear effect of covariates on the log-hazard scale, no...

This thesis consists of four chapters, all of which are related to credit risk and particularly modeling of default risk. The chapters can be read independently, and the intended audience differs somewhat among them. The first chapter is methodical; the intended audience consists of...

We provide first-time evidence on whether market-wide physical or transition climate risks are priced in U.S. stocks. Textual and narrative analysis of Reuters climate-change news over 2000-2018, uncovers four novel risk factors related to natural disasters, global warming, international...

Corporate distress models typically only employ the numerical financial variables in the firms' annual reports. We develop a model that employs the unstructured textual data in the reports as well, namely the auditors' reports and managements' statements. Our model consists of a convolutional...

We analyze micro-level data from the Danish credit register and find that female business owners pay higher interest rates on corporate loans than male owners. The gender gap is partly explained by differences in firm and loan characteristics. However, an economically and statistically...