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|a While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk. Therefore, it is important to model such risks and quantify what part of a company's riskiness can be attributed to the ESG ratings. This paper aims to question whether ESG scores can be used to provide information on (tail) riskiness. By analyzing the (tail) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, we are able to show that risk can also depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data show positive not negligible dependencies between clusters determined by ESG scores, especially during the 2008 crisis
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Bax, Karoline, Sahin, Özge, Czado, Claudia, Paterlini, Sandra |
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While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk. Therefore, it is important to model such risks and quantify what part of a company's riskiness can be attributed to the ESG ratings. This paper aims to question whether ESG scores can be used to provide information on (tail) riskiness. By analyzing the (tail) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, we are able to show that risk can also depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data show positive not negligible dependencies between clusters determined by ESG scores, especially during the 2008 crisis |
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2021 erstellt |
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Bax, Karoline VerfasserIn aut, ESG, Risk, and (Tail) Dependence, [S.l.] SSRN [2021], 1 Online-Ressource (31 p), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2021 erstellt, Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 unrestricted online access, While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk. Therefore, it is important to model such risks and quantify what part of a company's riskiness can be attributed to the ESG ratings. This paper aims to question whether ESG scores can be used to provide information on (tail) riskiness. By analyzing the (tail) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, we are able to show that risk can also depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data show positive not negligible dependencies between clusters determined by ESG scores, especially during the 2008 crisis, Sahin, Özge VerfasserIn aut, Czado, Claudia VerfasserIn aut, Paterlini, Sandra VerfasserIn aut, https://ssrn.com/abstract=3846739 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.3846739 X:ELVSSRN Resolving-System kostenfrei, https://doi.org/10.2139/ssrn.3846739 LFER, https://ssrn.com/abstract=3846739 LFER, LFER 2022-11-29T08:45:27Z |
| spellingShingle |
Bax, Karoline, Sahin, Özge, Czado, Claudia, Paterlini, Sandra, ESG, Risk, and (Tail) Dependence, While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk. Therefore, it is important to model such risks and quantify what part of a company's riskiness can be attributed to the ESG ratings. This paper aims to question whether ESG scores can be used to provide information on (tail) riskiness. By analyzing the (tail) dependence structure of companies with a range of ESG scores, using high-dimensional vine copula modelling, we are able to show that risk can also depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data show positive not negligible dependencies between clusters determined by ESG scores, especially during the 2008 crisis |
| title |
ESG, Risk, and (Tail) Dependence |
| title_auth |
ESG, Risk, and (Tail) Dependence |
| title_full |
ESG, Risk, and (Tail) Dependence |
| title_fullStr |
ESG, Risk, and (Tail) Dependence |
| title_full_unstemmed |
ESG, Risk, and (Tail) Dependence |
| title_short |
ESG, Risk, and (Tail) Dependence |
| title_sort |
esg risk and tail dependence |
| url |
https://ssrn.com/abstract=3846739, https://doi.org/10.2139/ssrn.3846739 |
