Dipartimento di Scienze Statistiche

This study aims to understand the relationship between ESG scores and Value-at- Risk (VaR), computed by using a Vine copula-GARCH based approach, chosen for its reliability in detecting interdependencies among multiple stocks. The results indicate that an increase in assets with the highest ESG scores reduces potential losses in the portfolio. This finding underscores the importance of integrating high-level ESG scores into portfolios to mitigate market risk. Additionally, during periods characterized by stressed market conditions, the impact of ESG scores on VaR is even more pronounced, demonstrating that sustainable assets are more resilient in times of crisis.