Sustainable vs. conventional bonds: an analysis of real risk and perception

Identifier:  TFG:9145

Handle: https://hdl.handle.net/20.500.11797/TFG9145

Authors:  Musté Cruz, Maria

Abstract:
The main purpose of this research is to contrast the hypothesis that bonds with ESG criteria (environmental, social and governance) present a lower risk level than traditional corporate bonds. To answer this question, three main lines of analysis are established: First, the perception of investors towards the risk of ESG bonds is identified. Secondly, credit ratings of this type of bond are analysed. Finally, it seeks to identify the factors that influence both perceptions through a fundamental and technical analysis that contributes to respond to the hypothesis initially proposed. Six representative bonds of the corporate fixed income market (three conventional and three with ESG criteria) have been identified, which are studied in detail with the calculation of the following variables: standard deviation, Value at Risk analysis, spread credit, beta coefficient and Sharpe ratio