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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 risk dependencies and quantify what part of a company’s riskiness can be attributed to the ESG scores. This pap...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
International Review of Financial Analysis
Jahr:
2023
Band / Volume:
87
Jahr / Monat:
2023-05
Quartal:
2. Quartal
Monat:
May
Seitenangaben Beitrag:
102513
Sprache:
en
Volltext / DOI:
doi:10.1016/j.irfa.2023.102513
Verlag / Institution:
Elsevier BV
E-ISSN:
1057-5219
Publikationsdatum:
01.05.2023
Semester:
SS 23
TUM Einrichtung:
Angewandte Mathematische Statistik
Format:
Text
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