The impact of ESG ratings on default probability empirical analysis on credit default swap spread
Picardi, Federico (A.A. 2019/2020) The impact of ESG ratings on default probability empirical analysis on credit default swap spread. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 119. [Master's Degree Thesis]
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Abstract/Index
ESG conceptual framework. Definitions and ESG investing insights. ESG: a “megatrend” in global markets. Regulatory framework. Literature review. Variables and panel data models. Hypothesis construction. Sample, descriptive statistics and time horizon. Credit default swap spread. Stock return, volatility and leverage. Model generated credit rating. ESG rating and ESG combined rating. Panel data model: fixed and random effects. Further descriptive statistics. Empirical methodology and results. Empirical methodology. Panel data regression. Pooled OLS regression. Results & findings.
References
Bibliografia: pp. 79-84.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 25 Jun 2021 06:42 |
| Last Modified: | 25 Jun 2021 06:42 |
| URI: | https://tesi.luiss.it/id/eprint/29880 |
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