This study analyzes the relationship between ESG (Environmental, Social, and Governance) ratings and credit risk through an empirical analysis conducted on a sample of 129 non-financial European companies. The dependent variable is the Z-score, an indicator of credit risk, while the independent variable is the ESG score. Descriptive statistics show significant variation in Z-scores and ESG scores, with generally high ESG performance among the companies considered. The applied model uses linear regression obtained through OLS to examine the impact of ESG scores on Z-scores.
Il presente elaborato analizza la relazione tra i rating ESG (Environmental, Social, and Governance) e il rischio di credito attraverso un'analisi empirica condotta su un campione di 129 imprese non finanziarie europee. La variabile dipendente è lo Z-score, indicatore del rischio di credito, mentre la variabile indipendente è il punteggio ESG. Le statistiche descrittive mostrano una variazione significativa degli Z-score e dei punteggi ESG, con una performance ESG generalmente alta tra le aziende considerate. Il modello applicato utilizza la regressione lineare ottenuta tramite OLS per esaminare l'impatto dei punteggi ESG sugli Z-score.
I fattori ESG e il rischio di credito delle imprese
ZANELLA, ALESSANDRA
2023/2024
Abstract
This study analyzes the relationship between ESG (Environmental, Social, and Governance) ratings and credit risk through an empirical analysis conducted on a sample of 129 non-financial European companies. The dependent variable is the Z-score, an indicator of credit risk, while the independent variable is the ESG score. Descriptive statistics show significant variation in Z-scores and ESG scores, with generally high ESG performance among the companies considered. The applied model uses linear regression obtained through OLS to examine the impact of ESG scores on Z-scores.File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.12608/68968