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116 records from EconBiz based on author Name
1. ESG factors and firms' credit risk
abstractWe study the relationship between the risk of default and Environmental, Social and Governance (ESG) factors using Supervised Machine Learning (SML) techniques on a crosssection of European listed companies. Our proxy for credit risk is the z-score originally proposed by Altman (1968). We consider an extensive number of ESG raw factors sourced from the rating provider MSCI as potential explanatory variables. In a first stage we show, using different SML methods such as LASSO and Random Forest, that a selection of ESG factors, in addition to the usual accounting ratios, helps explaining a firm's probability of default. In a second stage, we measure the impact of the selected variables on the risk of default. Our approach provides a novel perspective to understand which environmental, social responsibility and governance characteristics may reinforce the credit score of individual companies.
Bonacorsi, Laura; Cerasi, Vittoria; Galfrascoli, Paola; Manera, Matteo;2022
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 2. Bail-in and bank funding costs
Cerasi, Vittoria; Galfrascoli, Paola;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 3. It takes two to tango : interlockings and partial equity ownership
Battaggion, Maria Rosa; Cerasi, Vittoria;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 4. The value of interlocking directorates in vertical contracting
Battaggion, Maria Rosa; Cerasi, Vittoria; Karakoc, Gulen;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 5. Liquidation value of productive assets and product differentiation
Boccaletti, Simone; Cerasi, Vittoria;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 6. Bail-in and bank funding costs
Cerasi, Vittoria; Galfrascoli, Paola;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
7. On the optimality of information sharing between integrated and vertically separated competitors
Battaggion, Maria Rosa; Cerasi, Vittoria; Karakoç, Gülen;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
8. Bank resolution and multinational banks
Cerasi, Vittoria; Montoli, Stefano;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link 9. ESG Factors and Firms' Credit Risk
Bonacorsi, Laura; Cerasi, Vittoria; Galfrascoli, Paola; Manera, Matteo;2022
Type: Working Paper;
Availability:
10. ESG Factors and Firms’ Credit Risk
abstractWe study the relationship between the risk of default and Environmental, Social and Governance (ESG) factors using Supervised Machine Learning (SML) techniques on a cross-section of European listed companies. Our proxy for credit risk is the z-score originally proposed by Altman (1968).We consider an extensive number of ESG raw factors sourced from the rating provider MSCI as potential explanatory variables. In a first stage we show, using different SML methods such as LASSO and Random Forest, that a selection of ESG factors, in addition to the usual accounting ratios, helps explaining a firm’s probability of default. In a second stage, we measure the impact of the selected variables on the risk of default. Our approach provides a novel perspective to understand which environmental, social responsibility and governance characteristics may reinforce the credit score of individual companies
Bonacorsi, Laura; Cerasi, Vittoria; Paola, Galfrascoli; Manera, Matteo;2022
Availability: Link Link