1. The effect of environmental sustainability on credit risk
- Author
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Alexander Landau, Bernhard Zwergel, Christian Klein, and André Höck
- Subjects
CDS spreads ,Information Systems and Management ,Strategy and Management ,Risikomessung ,Umwelt ,Corporation ,Kreditrisiko ,0502 economics and business ,Business and International Management ,Financial services ,Risk management ,040101 forestry ,Finance ,050208 finance ,Nachhaltigkeit ,business.industry ,Bond ,05 social sciences ,04 agricultural and veterinary sciences ,sustainability ,Investment (macroeconomics) ,default risk measurement ,Investment decisions ,Sustainability ,0401 agriculture, forestry, and fisheries ,business ,environment ,Kapitalanlage ,Credit risk - Abstract
The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth. A key proposal from this framework is the mandatory consideration of environmental criteria for investment decisions. However, in particular for bond investors, there is not much academic guidance on how to integrate sustainability criteria in the investment process. Hence, this study investigates the impact of environmental sustainability on the pricing of credit risk for European corporations. Furthermore, whether or not the credit worthiness of a corporation has a moderating effect on the relationship between the environmental sustainability and the credit risk premium is analyzed. The findings prove that more sustainable companies have lower credit risk premiums if they also have a high credit worthiness.
- Published
- 2020
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