Minnesota Center for Financial and Actuarial Mathematics (MCFAM)

Please join us for our next seminar of fall semester either in person or virtually! This seminar will feature Karoline Bax from the Technical University of Munich who will discuss lower ESG rated companies and their systemic impact.

Note: Refreshments will be served to those who attend in person in Vincent Hall.

Karoline Bax
Postdoctoral Researcher
Technical University of Munich, Germany

About the lecture
In the recent years, companies have increasingly been characterized by environmental, social, and governance (ESG) scores, and both investors and academics have raised questions concerning financial performance and investment risks. Now as the European Banking Authority (EBA) has acknowledged that ESG risks can have a potential impact on the financial system, the debate of systemic risk has risen. While understanding the relationship between ESG merit and systemic risk is of utmost important for the stability of the financial system, still only scarce knowledge exists.

Relying on real-world European and U.S. data, Bax and her colleagues quantify the systemic risk impact by means of QL-CoVaR. Empirical analysis on the entire period from 2007-2021 shows that companies with a high ESG score tend to exhibit lower QL-CoVaR values than lower rated companies indicating a positive effect of ESG scores. Such evidence is also confirmed by clustering the individual companies into ESG portfolios and focusing on COVID-19.

About the speaker
Karoline Bax is a postdoctoral researcher at the Technical University of Munich in Germany and is currently in the process of finishing her Ph.D. at the Department of Economics and Management at the University of Trento, Italy. She received a bachelor's degree in general management and a master's degree in finance from the EBS Universität für Wirtschaft und Recht, Germany. Her research focuses on ESG investing and sustainable finance.