CLIMATE CHANGE AND CREDIT RISK

Authors investigate the relationship between exposure to climate change and firm credit risk. They show that the distance-to-default, a widely used market-based measure of corporate default risk, i ...

Auteur(s) :

Giusy Capasso

Marco Spinelli

Authors investigate the relationship between exposure to climate change and firm credit risk. They show that the distance-to-default, a widely used market-based measure of corporate default risk, is negatively associated with the amount of a firm’s carbon emissions and carbon intensity. Therefore, companies with high carbon footprint are perceived by the market as more likely to default, ceteris paribus. The carbon footprint decreases the distance-to-default following shocks - such as the Paris Agreement - that reveal policymakers’ intention to implement stricter climate policies. Overall, these results indicate that the exposure to climate risks affects the creditworthiness of loans and bonds issued by corporates. Financial regulators and policymakers should consider carefully the impact of climate change risks on the stability of both lending intermediaries and corporate bond markets.

Type : Publication EDHEC
Date : le 10/03/2020
Pôle de recherche Finance

A voir également

Nouveau double-diplôme EDHEC & EURECOM : se former à l'internet des objets et au management
Actualités
- 04-08-2020
L’EDHEC Business School et EURECOM, école d’ingénieurs spécialisée en sciences du...
Le Programme Grande Ecole de l’EDHEC en 2020, des classements au top !
Actualités
- 03-08-2020
Retour sur une année très riche en classements français et internationaux pour le...
La Chaire relance son étude Diversité & Carrière - Alumni apportez votre contribution!
Actualités
- 29-07-2020
Parce que nous sommes tous différents, cette étude se propose de dresser un état des...
Nouveau double diplôme EDHEC & MINES ParisTech : se former à la finance durable
Actualités
- 27-07-2020
Faciliter la transition vers une économie à faible émission de carbone nécessite un...