信用违约掉期
掉期(金融)
脆弱性(计算)
信用风险
业务
气候变化
信用衍生工具
违约风险
货币经济学
金融经济学
经济
财务
生态学
计算机安全
计算机科学
生物
作者
Andrea Ugolini,Juan C. Reboredo,Javier Ojea-Ferreiro
标识
DOI:10.1016/j.ribaf.2024.102372
摘要
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of European firms. Using 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 report how this factor shifts the term structure of the CDS spreads of more but not of less vulnerable firms. Considering the CTR factor, we find that different climate transition policies have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on less vulnerable firms.
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