Snižuje ESG governance systémové riziko? Údaje z evropských bank

Abstract This dissertation studies whether greater ESG composite annual score is associated with lower systemic risk in the listed European banks. Using a panel of 18 listed banks from 2015 to 2024, the study tests whether higher lagged ESG composite annual scores are related to a lower contribution by the bank to systemic risk, measured through the absolute value of DeltaCoVaR. An indirect channel is also examined, by analysing whether ESG composite annual score is associated with a lower share of risk weighted assets allocated to the trading book. The empirical analysis combines Bloomberg ESG composite annual score and financial data with market based systemic risk measures. The models include bank and year fixed effects, lagged bank level controls, winsorised financial ratios, and standard errors clustered at the bank level. The results do not provide statistically significant evidence that a stronger ESG composite annual score is associated with a lower DeltaCoVaR in the following year. However, the non causal findings suggest a negative and weak statistically significant association between ESG composite annual score and the share of risk weighted assets allocated to the trading book. Additional tests using credit risk indicators, including non performing loans and loan loss provisions, do not show comparable associations. Overall, the evidence suggests that ESG composite annual score is not clearly linked to lower systemic risk in this sample, but it may be associated with changes in the composition of the risk weighted assets of the banks. The results should be interpreted with caution given the limited size of the sample and the observational nature of the analysis.