G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15816
DP15816 Social Responsibility and Bank Resiliency
Thomas Gehrig; Stephan Unger
发表日期2021-02-16
出版年2021
语种英语
摘要We provide transatlantic evidence about the relation between social responsibility and resiliency in the banking industry. We analyse various measures of resiliency, an exposure measure (SRISK) and a contribution measure (Delta CoVaR) to systemic risk, as well as measures of systematic risk (beta) and insolvency risk (z-score). Social responsibility is measured by Thomson Reuters' ESG-scores and their subcategories, both according to the older Asset 4 and the present TR ESG Refinitiv classification. We find that the social aggregate score significantly enhances resiliency in all dimensions and in both classifications. On the level of subcategories, we identify significant common resiliency enhancing factor proxies for long-term orientation, such as product responsibility and workforce training, while short-term objectives proxied by shareholder orientation tend to relate to lower levels of resiliency. Looking deeper into the components of each ESG pillar, we also discover significant transatlantic differences mainly related to the different organization of labour markets as well as the board structure.
主题Financial Economics
关键词Esg-scores Systemic risk Bank resiliency Financial stability Capital shortfall Sustainable banking
URLhttps://cepr.org/publications/dp15816
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/544815
推荐引用方式
GB/T 7714
Thomas Gehrig,Stephan Unger. DP15816 Social Responsibility and Bank Resiliency. 2021.
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