Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure
使用AI算法BERT量化监管气候风险披露，分析其对信用违约互换（CDS）期限结构的影响，发现转型风险披露在2015年巴黎气候协议后推高CDS利差，而物理风险披露则降低利差。
Abstract We use BERT, an AI-based algorithm for language understanding, to quantify regulatory climate risk disclosures and analyze their impact on the term structure in the credit default swap (CDS) market. Risk disclosures can either increase or decrease CDS spreads, depending on whether the disclosure reveals new risks or reduces uncertainty. Training BERT to differentiate between transition and physical climate risks, we find that disclosing transition risks increases CDS spreads after the Paris Climate Agreement of 2015, while disclosing physical risks decreases the spreads. In addition, we also find that the election of Trump had a negative impact on CDS spreads for firms exposed to transition risk. These impacts are consistent with theoretical predictions and economically and statistically significant.