To analyse credit risks with greater precision, we developed a pricing model in 2017 to capture the influence of environmental, social and governance (ESG) factors on credit spreads. It showed a convincing relationship between ESG risk and credit spreads, manifesting as an ESG-risk curve.
CATEGORIES:
Asset Classes:
Debt / Credit / Fixed Income
Investment Style:
ESG
Investment Style:
Sustainable
Investment Style:
Responsible
