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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20230303T120000
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DTSTAMP:20260419T011608
CREATED:20220920T201518Z
LAST-MODIFIED:20230301T205324Z
UID:895-1677844800-1677848400@www.math.ttu.edu
SUMMARY:Do lower ESG rated companies have higher systemic impact? Empirical Evidence from Europe and the United States
DESCRIPTION:Speaker: Prof. Sandra Paterlini\, Economics and Management\, University of Trento\n\nAbstract: In recent years\, companies have increasingly been characterized by environ- mental\, social\, and governance (ESG) scores\, and investors and academics have raised questions concerning financial performance and investment risks. Now\, as the European Banking Authority has acknowledged that ESG risks can potentially impact the economic and financial system\, the debate on systemic risk has gained traction. Understanding the relationship between ESG merit and systemic risk is of utmost importance for the stability of the eco- nomic and financial system\, still\, research is limited. Relying on real-world European and US data\, we quantify systemic risk by means of QL-CoVaR. Empirical analyses of the entire period from 2007-2021 show that compa- nies with high ESG scores tend to exhibit low QL-CoVaR values indicating a positive effect of ESG scores. Such evidence is confirmed by clustering the individual companies into ESG portfolios and focusing on COVID-19. Additional insights using the individual pillars are also provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/tba/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2023
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/paterlini.jpg
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