Measuring ESG risks in multi-asset portfolios : decomposing VaRESG into CVaRESG
Paolo Capelli, Federica Ielasi, Angeloantonio Russo
| Year of publication: |
2024
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| Authors: | Capelli, Paolo ; Ielasi, Federica ; Russo, Angeloantonio |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 66.2024, Art.-No. 105692, p. 1-9
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| Subject: | Volatility | VaR | Component value-at-risk | ESG risk | Financial portfolio decomposition | Market risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Volatilität | Risikomanagement | Risk management | Risiko | Risk | Nachhaltige Kapitalanlage | Sustainable investment | Dekompositionsverfahren | Decomposition method | Marktrisiko | Corporate Social Responsibility | Corporate social responsibility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105692 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015061195