Article Dans Une Revue Bankers Markets & Investors : an academic & professional review Année : 2018

Does Sustainability Reduce Country Default Risk?

Résumé

Using the CDS premium as a proxy for default risk, and studying 41 countries rated bythe social rating agency Vigeo, we show that higher country social ratings are associated with lower sovereign default risk. From the credit rating and the sustainableVigeo scores we highlight three independent components called social, environmentaland economic dimensions. The most valuable information for appraising sovereigndefault risk comes from the environmental and the economic dimensions. By referringto a Choquet integral methodology, we aggregate these two dimensions in an overallscore which better explains country default risk than the credit rating taken alone.

Dates et versions

hal-04698960 , version 1 (16-09-2024)

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Mathieu Gex, Isabelle Girerd-potin, Sonia Jimenez-Garcès, Pascal Louvet. Does Sustainability Reduce Country Default Risk?. Bankers Markets & Investors : an academic & professional review, 2018, 150, pp.34-48. ⟨10.54695/bmi.150.312⟩. ⟨hal-04698960⟩

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