Title: The impact of ESG scores on tails risk measures
Authors: Luigi Aldieri - University of Salerno (Italy)
Alessandra Amendola - University of Salerno (Italy) [presenting]
Vincenzo Candila - University of Salerno (Italy)
Abstract: Over the past two decades, there has been increased attention and larger consciousness about the Environmental, Social and Governance (ESG) responsibilities of the firms. The asset allocation process has changed accordingly to consider ESG responsibilities, and it has been largely recognized that private and institutional investors are sensible to ESG factors when deciding which firms to invest in. Other key factors to which investors generally pay attention are the loss which is likely to occur at a given probability and over a specific period (Value-at-Risk - VaR); the expected loss (Expected Shortfall - ES) sustained in that portion of unfortunate events. The present contribution aim at investigates the VaR and ES of a set of listed firms with different ESG scores through different backtesting procedures.