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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, Sandra 
Titel:
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...    »
 
Stichworte:
ESG scores, Risk, Dependence, Tail dependence, Vine Copula models 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
SSRN Electronic Journal 
Jahr:
2021 
Jahr / Monat:
2021-05 
Quartal:
2. Quartal 
Monat:
May 
Seitenangaben Beitrag:
29 Pages 
Volltext / DOI:
Verlag / Institution:
Elsevier BV 
E-ISSN:
1556-5068 
Hinweise:
Posted: 18 May 2021 
Publikationsdatum:
01.01.2021 
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik 
Format:
Text