PhD

In the aftermath of the Global Financial Crisis of 2008-2009 , there has been increased scrutiny in the way that credit rating agencies (CRAs) have conducted credit risk analysis. Through the UN-supported Principles for Responsible Investments (PRJ), a growing number of investors and CRAs have collaborated to enhance the systematic and transparent consideration of environmental, social and governance (ESG) factors in the assessment of corporate creditworthiness. While there exists a burgeoning literature that examines the relationship between corporate social performance (CSP) and credit risk, there are several prevailing issues. Firstly, previous studies of CSP have relied on measures which do not account for the differential materiality of ESG issues across different industries. Taking into consideration ESG issues that are material from a value creation perspective would allow for better integration with financial markets. Secondly, the majority of previous studies exploring the CSP-credit risk relationship have not used market-based measures of credit risk ...