Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?

no code implementations • 29 Jun 2021 • Özge Sahin, Karoline Bax, Claudia Czado, Sandra Paterlini

Environmental, Social, and Governance (ESG) scores measure companies' performance concerning sustainability and societal impact and are organized on three pillars: Environmental (E), Social (S), and Governance (G).

ESG, Risk, and (Tail) Dependence

no code implementations • 15 May 2021 • Karoline Bax, Özge Sahin, Claudia Czado, Sandra Paterlini

While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open.

Vine copula mixture models and clustering for non-Gaussian data

1 code implementation • 5 Feb 2021 • Özge Sahin, Claudia Czado

Since vine copulas are very flexible in capturing these types of dependencies, we propose a novel vine copula mixture model for continuous data.

Clustering Model Selection