The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio

Detalhes bibliográficos
Autor(a) principal: Delgado, João André Ferreira Costa
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/105976
Resumo: The present report is a complement of the group report“ Responsible Investing at BPI GA” elaborated as part of the Consulting Project developed alongside BPI gestão de ativos. This research argues that it is possible to reduce the overall default risk of a corporate bond portfolio through the implementation of an ESG Momentum strategy. Two different strategies were tested: one where the distribution of weights was made at a portfolio level and other at an industry level. The ESG metrics used were the ESG score and ESG Combined score provided by refinitiv. The study found a statistically significant decrease of overall default risk for all the strategies tested, leading to the conclusion that it is possible to reduce the default risk of a corporate bond portfolio by adding an extra ESG layer to its construction. However, returns have mixed results for the different strategies tested. This research can serve as support for the client to maintain its transition towards being a more responsible investor.
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spelling The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolioCorporate bond portfolioDefault riskESG scoresMomentum strategyDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe present report is a complement of the group report“ Responsible Investing at BPI GA” elaborated as part of the Consulting Project developed alongside BPI gestão de ativos. This research argues that it is possible to reduce the overall default risk of a corporate bond portfolio through the implementation of an ESG Momentum strategy. Two different strategies were tested: one where the distribution of weights was made at a portfolio level and other at an industry level. The ESG metrics used were the ESG score and ESG Combined score provided by refinitiv. The study found a statistically significant decrease of overall default risk for all the strategies tested, leading to the conclusion that it is possible to reduce the default risk of a corporate bond portfolio by adding an extra ESG layer to its construction. However, returns have mixed results for the different strategies tested. This research can serve as support for the client to maintain its transition towards being a more responsible investor.Prado, MelissaRUNDelgado, João André Ferreira Costa2023-01-03T01:30:21Z2020-01-132020-01-032020-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105976TID:202494632enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:51:12Zoai:run.unl.pt:10362/105976Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:38.796359Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
title The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
spellingShingle The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
Delgado, João André Ferreira Costa
Corporate bond portfolio
Default risk
ESG scores
Momentum strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
title_full The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
title_fullStr The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
title_full_unstemmed The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
title_sort The effects of environmental, social and governance (ESG) factors on the default risk of a fixed income portfolio
author Delgado, João André Ferreira Costa
author_facet Delgado, João André Ferreira Costa
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Delgado, João André Ferreira Costa
dc.subject.por.fl_str_mv Corporate bond portfolio
Default risk
ESG scores
Momentum strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Corporate bond portfolio
Default risk
ESG scores
Momentum strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description The present report is a complement of the group report“ Responsible Investing at BPI GA” elaborated as part of the Consulting Project developed alongside BPI gestão de ativos. This research argues that it is possible to reduce the overall default risk of a corporate bond portfolio through the implementation of an ESG Momentum strategy. Two different strategies were tested: one where the distribution of weights was made at a portfolio level and other at an industry level. The ESG metrics used were the ESG score and ESG Combined score provided by refinitiv. The study found a statistically significant decrease of overall default risk for all the strategies tested, leading to the conclusion that it is possible to reduce the default risk of a corporate bond portfolio by adding an extra ESG layer to its construction. However, returns have mixed results for the different strategies tested. This research can serve as support for the client to maintain its transition towards being a more responsible investor.
publishDate 2020
dc.date.none.fl_str_mv 2020-01-13
2020-01-03
2020-01-13T00:00:00Z
2023-01-03T01:30:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/105976
TID:202494632
url http://hdl.handle.net/10362/105976
identifier_str_mv TID:202494632
dc.language.iso.fl_str_mv eng
language eng
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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