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Titel:

ESG, Risk, and (Tail) Dependence

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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 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:
doi:10.2139/ssrn.3846739
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
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