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Document type:
Zeitschriftenaufsatz 
Author(s):
Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, Sandra 
Title:
ESG, Risk, and (Tail) Dependence 
Abstract:
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 scores. This paper aims to q...    »
 
Keywords:
ESG scores, Risk, Dependence, Tail dependence, Vine Copula models 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
SSRN Electronic Journal 
Year:
2021 
Year / month:
2021-05 
Quarter:
2. Quartal 
Month:
May 
Pages contribution:
29 Pages 
Fulltext / DOI:
Publisher:
Elsevier BV 
E-ISSN:
1556-5068 
Notes:
Posted: 18 May 2021 
Date of publication:
01.01.2021 
TUM Institution:
Professur für Angewandte Mathematische Statistik 
Format:
Text