Pricing ESG risk in credit markets: through volatility, our conviction affirmed - Federated Hermes

To analyse credit risks with greater precision, Federated Hermes developed a pricing model in 2017 to capture the influence of environmental, social and governance (ESG) factors on credit spreads. It showed a convincing relationship between ESG risk and credit spreads, manifesting in an ESG-risk curve.

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... In 2018, Federated Hermes reinforced these findings. Today, they revisit their study, updating their results with a longer sample period to understand how the market volatility throughout 2020 affected the relationship between ESG factors and CDS spreads.

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