Hermes Investment Management case study

Pricing ESG risk in credit markets: reinforcing our conviction

Published by : Hermes Investment Management

To analyse credit risks with greater precision, we developed a pricing model last year 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.

After expanding this research, we found this relationship between ESG risk and credit spreads to be reinforced.

Published:08 October 2018

Business Area: Risk

Type: Portable Document Format (.pdf)

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