Related papers: ESG, Risk, and (Tail) Dependence
As the global economic environment becomes increasingly unstable, enhancing financial flexibility to cope with risks has become the consensus of many companies. At the same time, environmental, social, and governance (ESG) performance may…
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…
The analysis of determinants of a company's financial performance has aroused significant attention, particularly, the environmental, social, and governance (ESG) has been the research focus in recent years. In addition to increasing…
Incorporating environmental, social, and governance (ESG) considerations into systematic investments has drawn numerous attention recently. In this paper, we focus on the ESG events in financial news flow and exploring the predictive power…
Environmental, social, and governance (ESG) reports are globally recognized as a keystone in sustainable enterprise development. However, current literature has not concluded the development of topics and trends in ESG contexts in the…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
In this paper, we look at the impact of Environment, Social and Governance related news articles and social media data on the stock market performance. We pick four stocks of companies which are widely known in their domain to understand…
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…
In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments…
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negative ESG premium is priced in the market, this mandate can…
Over the past years, topics ranging from climate change to human rights have seen increasing importance for investment decisions. Hence, investors (asset managers and asset owners) who wanted to incorporate these issues started to assess…
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on aymptotic independent pairs in quantitative risk…