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Ask BERT: how regulatory disclosure of transition and physical climate risks affects the CDS term structure

Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - 2020

We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads, depending on whether disclosure reveals new risks or...

Persistent link: https://www.econbiz.de/10012487823

An advanced hybrid classification technique for credit risk evaluation

Wu, Chong; Gao, Dekun; Ma, Qianqun; Wang, Qi; Lu, Yu - In: The journal of risk model validation 13 (2019) 3, pp. 73-88

Persistent link: https://www.econbiz.de/10012140261

The role of social media in financial risk prediction : evidence from China

Wang, Qi; Zhang, Chenghu; Li, Zheng - In: Asia-Pacific journal of financial studies 51 (2022) 4, pp. 618-650

Persistent link: https://www.econbiz.de/10013460998

Ask BERT : how regulatory disclosure of transition and physical climate risks affects the CDS term structure

Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - In: Journal of financial econometrics 22 (2024) 1, pp. 30-69

Persistent link: https://www.econbiz.de/10014526303

Using the Bayesian sampling method to estimate corporate loss given default distribution

Zhang, Xiaofei; Zhao, Xinlei - In: Journal of empirical finance 79 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015179516

Comparison of modeling methods for Loss Given Default

Qi, Min; Zhao, Xinlei - In: Journal of banking & finance 35 (2011) 11, pp. 2842-2855

Persistent link: https://www.econbiz.de/10009373147

Correlation in credit risk changes

Pu, Xiaoling; Zhao, Xinlei - In: Journal of banking & finance 36 (2012) 4, pp. 1093-1106

Persistent link: https://www.econbiz.de/10009557821

Unobserved systematic risk factor and default prediction

Qi, Min; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of banking & finance 49 (2014), pp. 216-227

Persistent link: https://www.econbiz.de/10010508040

Debt structure, market value of firm and recovery rate

Qi, Min; Zhao, Xinlei - In: The journal of credit risk : published quarterly by … 9 (2013) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10009737308

What moves the correlation between the equity and credit default swap markets?

Liu, Zilong; Pu, Xiaoling; Zhao, Xinlei - In: The journal of fixed income 25 (2015) 2, pp. 72-87

Persistent link: https://www.econbiz.de/10011399890