Date
2020-03-07Metadata
Show full item record
Aufsatz
The effect of environmental sustainability on credit risk
Abstract
The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth. A key proposal from this framework is the mandatory consideration of environmental criteria for investment decisions. However, in particular for bond investors, there is not much academic guidance on how to integrate sustainability criteria in the investment process. Hence, this study investigates the impact of environmental sustainability on the pricing of credit risk for European corporations. Furthermore, whether or not the credit worthiness of a corporation has a moderating effect on the relationship between the environmental sustainability and the credit risk premium is analyzed. The findings prove that more sustainable companies have lower credit risk premiums if they also have a high credit worthiness.
Citation
In: Journal of Asset Management Volume 21 / Issue 2 (2020-03-07) , S. 85-93 ; EISSN 1479-179XSponsorship
Gefördert im Rahmen des Projekts DEALCitation
@article{doi:10.17170/kobra-202005071230,
author={Höck, André and Klein, Christian and Landau, Alexander and Zwergel, Bernhard},
title={The effect of environmental sustainability on credit risk},
journal={Journal of Asset Management},
year={2020}
}
0500 Oax 0501 Text $btxt$2rdacontent 0502 Computermedien $bc$2rdacarrier 1100 2020$n2020 1500 1/eng 2050 ##0##http://hdl.handle.net/123456789/11552 3000 Höck, André 3010 Klein, Christian 3010 Landau, Alexander 3010 Zwergel, Bernhard 4000 The effect of environmental sustainability on credit risk / Höck, André 4030 4060 Online-Ressource 4085 ##0##=u http://nbn-resolving.de/http://hdl.handle.net/123456789/11552=x R 4204 \$dAufsatz 4170 5550 {{Nachhaltigkeit}} 5550 {{Umwelt}} 5550 {{Kreditrisiko}} 5550 {{Risikomessung}} 5550 {{Kapitalanlage}} 7136 ##0##http://hdl.handle.net/123456789/11552
2020-05-12T16:44:30Z 2020-05-12T16:44:30Z 2020-03-07 doi:10.17170/kobra-202005071230 http://hdl.handle.net/123456789/11552 Gefördert im Rahmen des Projekts DEAL eng Namensnennung 4.0 International http://creativecommons.org/licenses/by/4.0/ sustainability environment default risk measurement CDS spreads 330 The effect of environmental sustainability on credit risk Aufsatz The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth. A key proposal from this framework is the mandatory consideration of environmental criteria for investment decisions. However, in particular for bond investors, there is not much academic guidance on how to integrate sustainability criteria in the investment process. Hence, this study investigates the impact of environmental sustainability on the pricing of credit risk for European corporations. Furthermore, whether or not the credit worthiness of a corporation has a moderating effect on the relationship between the environmental sustainability and the credit risk premium is analyzed. The findings prove that more sustainable companies have lower credit risk premiums if they also have a high credit worthiness. open access Höck, André Klein, Christian Landau, Alexander Zwergel, Bernhard doi:10.1057/s41260-020-00155-4 Nachhaltigkeit Umwelt Kreditrisiko Risikomessung Kapitalanlage publishedVersion EISSN 1479-179X Issue 2 Journal of Asset Management 85-93 Volume 21 false
The following license files are associated with this item: