The Experts below are selected from a list of 111684 Experts worldwide ranked by ideXlab platform
Björn Rock - One of the best experts on this subject based on the ideXlab platform.
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Corporate Social Responsibility and Credit Risk
Finance Research Letters, 2021Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:Abstract We study the relationship between corporate social responsibility and Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects are negatively related with various measures of Credit Risk for U.S. firms. For European firms, both environmental and social aspects are negatively associated with Credit Risk. Surprisingly, we find that Credit ratings do not reflect the same contemporaneous relationship with corporate social responsibility. Our results are robust against different estimation methods.
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Corporate Social Responsibility and Credit Risk
SSRN Electronic Journal, 2020Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:We study the effects of corporate social responsibility on Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects reduce different measures of Credit Risk for U.S. firms, whereas both environmental and social aspects do so for European firms. Surprisingly, we find that Credit ratings do not reflect these Credit-Risk reducing effects of corporate social responsibility. Our results are robust against different estimation methods.
Chu Zhang - One of the best experts on this subject based on the ideXlab platform.
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Counterparty Credit Risk and derivatives pricing
Journal of Financial Economics, 2019Co-Authors: Chu ZhangAbstract:Abstract We derive a model with qualitative implications for options pricing under counterparty Credit Risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005–2014. We find that the log-price difference between a derivative warrant with counterparty Credit Risk and an otherwise identical option without counterparty Credit Risk is significantly and negatively associated with the Credit default swap spread on the warrant issuer. We also find that the prices of out-of-the-money put warrants are more sensitive to Credit Risk than those of other warrants. Our results show counterparty Credit Risk matters for derivative pricing.
Christina E. Bannier - One of the best experts on this subject based on the ideXlab platform.
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Corporate Social Responsibility and Credit Risk
Finance Research Letters, 2021Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:Abstract We study the relationship between corporate social responsibility and Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects are negatively related with various measures of Credit Risk for U.S. firms. For European firms, both environmental and social aspects are negatively associated with Credit Risk. Surprisingly, we find that Credit ratings do not reflect the same contemporaneous relationship with corporate social responsibility. Our results are robust against different estimation methods.
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Corporate Social Responsibility and Credit Risk
SSRN Electronic Journal, 2020Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:We study the effects of corporate social responsibility on Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects reduce different measures of Credit Risk for U.S. firms, whereas both environmental and social aspects do so for European firms. Surprisingly, we find that Credit ratings do not reflect these Credit-Risk reducing effects of corporate social responsibility. Our results are robust against different estimation methods.
Martin Summer - One of the best experts on this subject based on the ideXlab platform.
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Credit Risk in General Equilibrium
Social Science Research Network, 2012Co-Authors: Jürgen Eichberger, Klaus Rheinberger, Martin SummerAbstract:Credit Risk models used in quantitative Risk management treat Credit Risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of Risk drives the fundamental parameters of Credit Risk: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction of many market participants: They are endogenous. We develop a general equilibrium model with endogenous Credit Risk that can be viewed as an extension of the capital asset pricing model. We analyze equilibrium prices of securities as well as equilibrium allocations in the presence of Credit Risk. We use the model to discuss the conceptual underpinnings of the approach to Risk weight calibration for Credit Risk taken by the Basel Committee.
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Credit Risk in general equilibrium
Research Papers in Economics, 2011Co-Authors: Jürgen Eichberger, Klaus Rheinberger, Martin SummerAbstract:Credit Risk models used in quantitative Risk management treat Credit Risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of Risk drives the fundamental parameters of Credit Risk: probability of default, exposure at default and the recovery rate. In reality these parameters are the result of the interaction of many market participants: They are endogenous. We develop a general equilibrium model with endogenous Credit Risk that can be viewed as an extension of the capital asset pricing model. We analyze equilibrium prices of securities as well as equilibrium allocations in the presence of Credit Risk. We use the model to discuss the conceptual underpinnings of the approach to Risk weight calibration for Credit Risk taken by the Basel Committee. JEL Classification: G32, G33, G01, D52
Yannik Bofinger - One of the best experts on this subject based on the ideXlab platform.
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Corporate Social Responsibility and Credit Risk
Finance Research Letters, 2021Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:Abstract We study the relationship between corporate social responsibility and Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects are negatively related with various measures of Credit Risk for U.S. firms. For European firms, both environmental and social aspects are negatively associated with Credit Risk. Surprisingly, we find that Credit ratings do not reflect the same contemporaneous relationship with corporate social responsibility. Our results are robust against different estimation methods.
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Corporate Social Responsibility and Credit Risk
SSRN Electronic Journal, 2020Co-Authors: Christina E. Bannier, Yannik Bofinger, Björn RockAbstract:We study the effects of corporate social responsibility on Credit Risk for U.S. and European firms over the period 2003 to 2018. Differentiating between the various facets of corporate social responsibility shows that only environmental aspects reduce different measures of Credit Risk for U.S. firms, whereas both environmental and social aspects do so for European firms. Surprisingly, we find that Credit ratings do not reflect these Credit-Risk reducing effects of corporate social responsibility. Our results are robust against different estimation methods.