Chaudhry Sajid M, Chen Xihui Haviour, Ahmed Rizwan, Nasir Muhammad Ali
Economics, Finance & Entrepreneurship Department, Aston Business School, Aston University, Birmingham, UK.
Edinburgh Business School, The Centre for Social and Economic Data Analytics (CSEDA), Heriot-Watt University, Edinburgh, UK.
Risk Anal. 2025 Mar;45(3):477-495. doi: 10.1111/risa.14195. Epub 2023 Jul 21.
Climate change poses enormous ecological, socio-economic, health, and financial challenges. A novel extreme value theory is employed in this study to model the risk to environmental, social, and governance (ESG), healthcare, and financial sectors and assess their downside risk, extreme systemic risk, and extreme spillover risk. We use a rich set of global daily data of exchange-traded funds (ETFs) from 1 July 1999 to 30 June 2022 in the case of healthcare and financial sectors and from 1 July 2007 to 30 June 2022 in the case of ESG sector. We find that the financial sector is the riskiest when we consider the tail index, tail quantile, and tail expected shortfall. However, the ESG sector exhibits the highest tail risk in the extreme environment when we consider a shock in the form of an ETF drop of 25% or 50%. The ESG sector poses the highest extreme systemic risk when a shock comes from China. Finally, we find that ESG and healthcare sectors have lower extreme spillover risk (contagion risk) compared to the financial sector. Our study seeks to provide valuable insights for developing sustainable economic, business, and financial strategies. To achieve this, we conduct a comprehensive risk assessment of the ESG, healthcare, and financial sectors, employing an innovative approach to risk modelling in response to ecological challenges.
气候变化带来了巨大的生态、社会经济、健康和金融挑战。本研究采用一种新颖的极值理论，对环境、社会和治理（ESG）、医疗保健和金融部门的风险进行建模，并评估它们的下行风险、极端系统性风险和极端溢出风险。对于医疗保健和金融部门，我们使用了1999年7月1日至2022年6月30日的一组丰富的全球交易所交易基金（ETF）每日数据；对于ESG部门，我们使用了2007年7月1日至2022年6月30日的数据。我们发现，当考虑尾部指数、尾部分位数和尾部预期损失时，金融部门风险最高。然而，当我们考虑ETF下跌25%或50%形式的冲击时，ESG部门在极端环境中表现出最高的尾部风险。当冲击来自中国时，ESG部门构成最高的极端系统性风险。最后，我们发现与金融部门相比，ESG和医疗保健部门具有较低的极端溢出风险（传染风险）。我们的研究旨在为制定可持续的经济、商业和金融战略提供有价值的见解。为实现这一目标，我们采用创新的风险建模方法，对ESG、医疗保健和金融部门进行全面的风险评估，以应对生态挑战。
