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Forum | Papers » Esg performance and the impact on medium-long term probabilities of default: the European case

Esg performance and the impact on medium-long term probabilities of default: the European case

Egidio Palmieri, Enrico F. Geretto, Maurizio Polato
June 2022 - n. 6
Keywords: Esg, Probability of Default, Sectorial, Risk Mitigation, Sustainability
Jel codes: G21, G28, M14

The integration of Esg performance into risk management policies has become a topic of interest for banks, managers, researchers and policy makers. This article aims to verify the persistence of the risk mitigation effect for Pd characterized by time horizons longer than one year, according to the sector firms belong to. The first contribution obtained is represented by the confirmation of the existence of a U-Shaped relationship between the overall Esg score and the risk mitigation effect. The existence of a different impact of the Esg score on risk mitigation was shown, depending on the sector to which the company belongs.

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