Karoline Bax

Technical University of Munich

Bildungscampus 9

Heilbronn, De -74076

Italy

University of Trento

Via Giuseppe Verdi 26

Trento, Trento 38152

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

1,002

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

ESG, Risk, and (Tail) Dependence

Number of pages: 44 Posted: 18 May 2021 Last Revised: 19 Oct 2022
Technical University of Munich, Technische Universität München (TUM), Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 373 (118,241)
Citation 1

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ESG scores, Risk, Dependence, Tail dependence, Vine Copula models

2.

The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology

Global Finance Journal, Forthcoming
Number of pages: 25 Posted: 30 Jan 2022 Last Revised: 23 Sep 2022
Technische Universität München (TUM), Technical University of Munich, University of Trento - Department of Economics and Management and Technische Universität München (TUM) - Department of Mathematics
Downloads 211 (211,935)

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Corporate social responsibility, data-mining, data quality, ESG scores, risk, sustainability performance

3.

Environmental, Social, Governance scores and the Missing pillar - Why does missing information matter?

Corporate Social Responsibility and Environmental Management
Number of pages: 27 Posted: 24 Jul 2021 Last Revised: 20 Jun 2022
Technische Universität München (TUM), Technical University of Munich, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 129 (320,039)

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Disclosure, ESG investment, ESG methodology, missing data, sustainable finance, Value-at-Risk

4.

Do Lower ESG Rated Companies Have Higher Systemic Impact? Empirical Evidence from Europe and the United States

Number of pages: 30 Posted: 01 Jul 2022 Last Revised: 14 Nov 2022
Technical University of Munich, University "Kore" of Enna and University of Trento - Department of Economics and Management
Downloads 113 (350,031)

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ESG, sustainability, systemic risks, CoVaR, financial stability

5.

Vine Copula Based Portfolio Level Conditional Risk Measure Forecasting

Number of pages: 24 Posted: 29 Aug 2022
Emanuel Sommer, Karoline Bax and Claudia Czado
Technische Universität München (TUM), Technical University of Munich and Technische Universität München (TUM) - Department of Mathematics
Downloads 87 (414,851)

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Portfolio Risk estimation, Expected Shortfall, Vine Copulas, Sampling, ARMA-GARCH, Stress testing

6.

A Generalized Precision Matrix for Multivariate T-Student and Skew Distributions in Portfolio Optimization

Number of pages: 20 Posted: 06 Apr 2022 Last Revised: 15 Nov 2022
Karoline Bax, Emanuele Taufer and Sandra Paterlini
Technical University of Munich, affiliation not provided to SSRN and University of Trento - Department of Economics and Management
Downloads 28 (676,495)

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Generalized Precision Matrix, heavy tails, multivariate t distribution, multivariate skew-normal and skew-t distributions, minimum-variance portfolio

7.

Which ESG Dimension Matters Most to Private Investors? An Experimental Study on Financial Decisions

Number of pages: 33 Posted: 21 Nov 2022
Matteo Benuzzi, Klaudijo Klaser and Karoline Bax
University of Trento, University of Trento and Technical University of Munich
Downloads 27 (698,821)

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ESG, sustainability, economic experiment; investor preferences; motivation; risk; uncertainty

8.

Vine Copula Based Dependence Modeling in Sustainable Finance

Number of pages: 39 Posted: 08 Nov 2022
Technische Universität München (TUM) - Department of Mathematics, Technical University of Munich, Technische Universität München (TUM), Ludwig Maximilian University of Munich (LMU) - Department of Statistics, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 21 (730,642)

Abstract:

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Copulas, Vine Copulas, cross sectional and temporal dependence, ESG, sustainability PACS: 0000, 1111

9.

Do Diverse and Inclusive Workplaces Benefit Investors? An Empirical Analysis on Europe and the United States

Number of pages: 13 Posted: 12 Sep 2022 Last Revised: 18 Nov 2022
Karoline Bax
Technical University of Munich
Downloads 13 (802,583)

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Diversity, Inclusion, D&I Score, Minimum Variance Portfolio