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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 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:
doi:10.2139/ssrn.3846739
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
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