Did ESG Ratings Help to Explain Changes in Sovereign CDS Spreads?
Dec 7, 2017
Natural disasters, political upheaval and corruption scandals are just a few of the shocks global investors have had to deal with in recent years. Analysis of environmental, social and governance risk factors at the country level may help investors to better understand the cause and consequences of these events, and how they fit into their sovereign credit risk assessment. In this paper we explore whether there was a relationship between our past ESG Government Ratings and subsequent changes to CDS spreads to determine whether there was additional information that could have helped investors with their portfolio decisions.