Juan C. Reboredo

This paper examines how market-perceived AI exposure is associated with extreme financial-sector gains and losses across five markets, using Expected Shortfall and skewness decompositions to distinguish AI-sector, macroeconomic, systemic and financial scenarios.

We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.