Social Responsibility and Bank Resiliency

41 Pages Posted: 10 May 2021

See all articles by Thomas Gehrig

Thomas Gehrig

University of Vienna; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Vienna Graduate School of Finance (VGSF); Systemic Risk Centre - LSE

Maria Chiara Iannino

University of St Andrews

Stephan Unger

Saint Anselm College

Multiple version iconThere are 2 versions of this paper

Date Written: April 20, 2021

Abstract

We provide transatlantic evidence about the relation between social responsibility and resiliency in the banking industry. We analyse various measures of resiliency, an exposure measure (SRISK) and a contribution measure (Delta CoVaR) to systemic risk, as well as measures of systematic risk (beta) and insolvency risk (z-score). Social responsibility is measured by Thomson Reuters’ ESG-scores and its pillars, both according to the older Asset 4 and the present TR ESG Refinitiv classification. We find that the social aggregate score significantly enhances resiliency in all dimensions and in both classifications. On the level of subcategories, we identify significant common resiliency enhancing factor proxies for long-term orientation, such as product responsibility and workforce training, while short-term objectives proxied by shareholder orientation tend to relate to lower levels of resiliency. Looking deeper into the components of each ESG pillar, we also discover significant transatlantic differences mainly related to the different organization of labour markets as well as the board structure

Keywords: ESG-scores, systemic risk, bank resiliency, financial stability, capital shortfall, sustainable banking

JEL Classification: G12, G21, G24, M14

Suggested Citation

Gehrig, Thomas and Iannino, Maria Chiara and Unger, Stephan, Social Responsibility and Bank Resiliency (April 20, 2021). European Corporate Governance Institute – Finance Working Paper No. 755/2021, Available at SSRN: https://ssrn.com/abstract=3841453 or http://dx.doi.org/10.2139/ssrn.3841453

Thomas Gehrig (Contact Author)

University of Vienna ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Vienna Graduate School of Finance (VGSF) ( email )

Welthandelsplatz 1
Vienna, 1020
Austria

Systemic Risk Centre - LSE ( email )

Houghton St, London WC2A 2AE, United Kingdom
London

Maria Chiara Iannino

University of St Andrews ( email )

School of Economics and Finance
Castlecliffe
St Andrews, KY16 9AL
United Kingdom

Stephan Unger

Saint Anselm College ( email )

100 Saint Anselm Drive
Mancheter, NH 03102
United States

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