Fattori ESG: correlazione con il rischio di credito

Even if the ESG factors are not new, it is only recently that there has been a significant shift in the global perspective. The catalyst of the growing awareness can be traced back to 2015, a pivotal year marked by Paris and U.N.’s SDGs agreements. Sustainable finance is a critical aspect of this shift. It involves making financial decisions and investments that go beyond short-term profit maximization, recognising that true prosperity must be long-lusting, inclusive and environmentally responsible. As a consequence, a special role in the global steering is given to the banks, which can contribute significantly in directing private investments towards a more sustainable, climate-neutral and resilient economy. One of the main elements where the banks should incorporate the ESG factors is their risk management framework. With regards to credit risk, ESG factors can be integrated into the credit risk models. The challenges arise when the banks must not only include ESG factors in their credit risk models, but also to prove the existence of correlation with clients' creditworthiness. An essential question is how much of the ESG-related risks is already directly or indirectly considered within the existing prudential framework, and what additional risks remain unaccounted for. In other words, it is necessary to analyse the correlation of risks that may emerge from ESG factors and to determine whether the bank's overall risk aligns with its current risk management and capital adequacy, or it should be enhanced by additional regulatory requirements. The complexity of such analysis is related to the long-term and forward-looking nature of ESG risks, characterised by the scarcity of high-quality historical data. The primary objective of this thesis is to contribute to the ongoing analysis by investigating the correlation between ESG risk factors and credit risk, which is the bulk of most banks’ risk-taking activities and hence their regulatory capital. The ESG data is typically available for large publicly traded companies, therefore the most suitable modelling technique chosen here is the structural approach. The relationship between the obtained credit risk measure and ESG factors is preliminarily investigated through pairwise orrelation analyses, and then in the multivariate regression framework. Specifically, the hypotheses that there is a positive relationship between a firm’s ESG performance and the distance-to-default value are tested both for the overall sample, covering the 2009 - 2020 period, and for two sub-samples, pre- and post-2015 Paris and U.N.'s SDGs agreements. The results highlight a statistically significant and positive relationship between the ESG Score and credit risk in the overall sample, meaning that a better ESG performance corresponds to a higher distance from default and a lower implied credit risk level. Moreover, the relationship varies across time, with the strongest connection observed in the most recent period, and no evidence of statistical significance in explaining the variability of credit risk prior to 2015. Finally, one can see the 2015 Paris and U.N.'s SDGs agreements as a structural break in the time series that shifted upwards the relevance of ESG risks and, therefore, their correlation with credit risk. This hypothesis is further supported by specific statistical analysis.