ML-QuantSubscribe

SSRNDerivatives & Volatility

'I'm Stranded': Transition Risk Information in CDS and Options

The research uses CDS and put option prices to gauge the likelihood and impact of climate change policy-related transition risk events, creating a reliable CDS-based index.

Featured in No. 14 on 30 Aug 2023 · 6 days after release · 1 citation today

Released
24 Aug 2023
First featured
No. 14 · 30 Aug 2023
Citations (Semantic Scholar)
1
Influential citations
0
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
4
Identifier
SSRN 4551442

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page