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Title:

ESG, risk, and (tail) dependence

Document type:
Zeitschriftenaufsatz
Author(s):
Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, Sandra
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 risk dependencies and quantify what part of a company’s riskiness can be attributed to the ESG scores. This pap...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
International Review of Financial Analysis
Year:
2023
Journal volume:
87
Year / month:
2023-05
Quarter:
2. Quartal
Month:
May
Pages contribution:
102513
Language:
en
Fulltext / DOI:
doi:10.1016/j.irfa.2023.102513
Publisher:
Elsevier BV
E-ISSN:
1057-5219
Date of publication:
01.05.2023
Semester:
SS 23
TUM Institution:
Angewandte Mathematische Statistik
Format:
Text
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