00000nam 2200000zi 4500 9.927574 CaOODSP 20230920105859 m o d f cr |n||||||||| 230920t20232023oncd ob f|0| 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-5/2023-38E-PDF Ugolini, Andrea, author. Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps / by Andrea Ugolini, Juan C. Reboredo and Javier Ojea-Ferreiro. [Ottawa] : Bank of Canada = Banque du Canada, 2023. ©2023 1 online resource (ii, 36 pages) : charts. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2023-38 "Last updated: July 17, 2023." Includes bibliographical references (pages 21-23). "We study whether the credit default swap (CDS) spreads of firms reflect the risk from climate transition. We first construct a climate transition risk (CTR) factor by using information on the vulnerability of a firm’s value to the transition to a low-carbon economy. We then document how this factor shifts the term structure of the CDS spreads of more vulnerable firms but not of less vulnerable firms. Considering the impact of different climate transition policies on the CTR factor, we find that these policies have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms"--Abstract. Includes abstract in French. Climatic changes Risk management Economic aspects. Climat Changements Gestion du risque Aspect économique. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2023-38. (CaOODSP)9.806221 PDF 845 KB https://publications.gc.ca/collections/collection_2023/banque-bank-canada/FB3-5-2023-38-eng.pdf