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The Potential Impact of ESG on Tail Risk

June 10, 2021

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.

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