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Pricing ESG risk in credit markets

Reinforcing our conviction

Mitch Reznick, CFA
Group Head of Fixed Income – London & Global Head of Sustainable Fixed Income, Federated Hermes Limited
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.

Pricing ESG risk in credit markets: reinforcing our conviction

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