Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41
financial and systemic risks of firms. In this study, we explore whether maintaining higher ESG ratings reduces the systemic … risks of firms in a stock market context. For this purpose we analyse the systemic risk indicators of the constituent stocks … systemic risk indicators by applying a principle components approach to the estimated volatilities and correlations. Our focus …