Pricing ESG risk in credit markets: reinforcing our conviction

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Insight

4 October 2018 |

Active ESG

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.

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