The Potential Impact of ESG on Tail Risk

Environmental, social and governance (ESG) trading activity has become a staple of financial markets, but whether ESG scores convey information regarding a company's riskiness remains open for debate. Karoline Bax, Özge Sahin, Claudia Czado and Sandra Paterlini use high-dimensional vine copula modeling to analyze the effects of ESG scores on tail risk.

December 3, 2021

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