Christopher Greenwald (Switzerland )
Head of Sustainability Application and Operations - SAM Sustainability Asset Management
While numerous studies have examined the relationship between ESG data and information and equity price returns, relatively little research has explored the relationship between ESG performance and credit risk. Given the often-cited link between ESG performance and management quality, one would expect a relationship to exist between companies with strong ESG performance and the reduction of the risk profile of a company, which should in turn be reflected in metrics measuring the credit risk of a company. This presentation will examine the relationship between ESG performance and credit risk by considering the relationship between ESG performance and quantitative measures of credit risk. By integrating the historical data of CDS spreads taken from Thomson Reuters' CreditViews together with the ESG scores of ASSET4, I will examine to what extent these two factors are negatively correlated. I will also consider the relationship that may exist between ESG scores and the incidence of credit downgrades. By examining the relationship between ESG performance and quantitative measures of credit risk, I will provide a concrete demonstration of the importance of ESG data in considering a company's risk profile and therefore in pursuing an effective fixed-income investment strategy.