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Risk modelling of ESG (environmental, social, and governance), healthcare, and financial sectors

Chaudhry, Sajid M., Chen, Xihui Haviour, Ahmed, Rizwan, Nasir, Muhammad Ali (2023) Risk modelling of ESG (environmental, social, and governance), healthcare, and financial sectors. Risk Analysis, . ISSN 0272-4332. E-ISSN 1539-6924. (doi:10.1111/risa.14195) (KAR id:102295)


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.

Item Type: Article
DOI/Identification number: 10.1111/risa.14195
Uncontrolled keywords: ecological risk modeling; ESG, extreme value theory; financial risks; healthcare risks; risk analysis; risk assessment
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Funders: University of Kent (
SWORD Depositor: JISC Publications Router
Depositing User: JISC Publications Router
Date Deposited: 03 Aug 2023 10:28 UTC
Last Modified: 01 Sep 2023 09:00 UTC
Resource URI: (The current URI for this page, for reference purposes)

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