ESG Factors and Firms’ Credit Risk
Next ReLunch seminar, joint with CISEPS: Egon Tripodi (University of Essex), will present
“ESG Factors and Firms’ Credit Risk” (With Vittoria Cerasi and Matteo Manera)
Abstract: In this paper, we study the relationship between the risk of default and Environmental, Social and Governance (ESG) factors using supervised machine learning techniques (LASSO) on a cross-section of European listed companies. Our preliminary results show that a selection of ESG factors in addition to the usual accounting ratios helps explaining a firm’s probability of default as approximated by the z-score. We include the variables selected by LASSO in OLS regressions to evaluate both the sign and the magnitude of the different ESG factors. An extension of the Holmstrom and Tirole (1997) model is used to interpret the results.
Tuesday, June 8, 12:30
Online through Webex
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