Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps / by Andrea Ugolini, Juan C. Reboredo and Javier Ojea-Ferreiro.: FB3-5/2023-38E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.927574&sl=0
| Department/Agency |
|
|---|---|
| Title | Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps / by Andrea Ugolini, Juan C. Reboredo and Javier Ojea-Ferreiro. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | 1 online resource (ii, 36 pages) : charts. |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: