Multidimensional disagreement of the credit ratings and ESG scorings granted to European banks. Are credit ratings related to ESG scorings?

• Autorzy: Bernardelli Michał , Korzeb Zbigniew , Niedziółka Paweł

Identyfikatory

DOI

10.34659/eis.2025.92.1.830

Warianty tytułu

PL

Wielowymiarowa niezgodność ratingów kredytowych i ocen ESG przyznawanych europejskim bankom. Czy ratingi kredytowe są powiązane z ocenami ESG?

• Języki publikacji: EN

Abstrakty

EN

The study covers 53 largest European banks and the largest banks from CEE countries. Credit ratings from 3 leading rating agencies and 8 ESG scoring providers are considered. The similarity is measured by cosine distance and Spearman rank correlation. The analysis shows a high similarity between the credit ratings with S&P’s ratings being relatively more conservative. A much more significant divergence characterises the pairwise comparison of ESG scores. As the C/I ratio increases, the similarity of credit ratings increases, and sovereign banks have the relatively highest correlation of credit risk ratings. The most substantial divergence is recorded for UK banks, and the greater the value of a bank’s own funds, the more visible the divergence of ratings given by Big Three providers. In the case of ESG scoring, none of the sample distribution criteria allowed for the determination of the relationship between ESG scorings. Indeed, unlike credit ratings, ESG scores are weakly correlated with each other.

PL

Badanie obejmuje 53 największe banki europejskie oraz największe banki z Europy Środkowo-Wschodniej. Pod uwagę wzięto ratingi kredytowe nadawane przez 3 wiodące agencje ratingowe i 8 podmiotów nadających scoringi ESG. Zastosowano 2 miary podobieństwa, tj. odległość kosinusową oraz korelację rangową Spearmana. Przeprowadzona analiza wskazuje na duże podobieństwo ratingów kredytowych, przy czym oceny formułowane przez S&P odznaczają się stosunkowo większym konserwatyzmem. Dużo większe rozbieżności charakteryzuje porównanie parami scoringów ESG. Jednocześnie wraz ze wzrostem współczynnika C/I zwiększa się podobieństwo ratingów kredytowych, zaś stosunkowo największą korelacją ocen ryzyka kredytowego charakteryzują się banki państwowe. Największe rozbieżności notowane są w przypadku banków brytyjskich, a im większa wartość funduszy własnych banku, tym większa rozbieżność ratingów nadawanych przez podmioty z grupy Big Three. W przypadku scoringów ESG żadne z zastosowanych kryteriów podziału próby nie daje możliwości sformułowania zależności pomiędzy scoringami ESG. W przeciwieństwie bowiem do ratingów kredytowych scoringi ESG są między sobą słabo skorelowane.

Słowa kluczowe

EN

ESG scoring; credit rating; credit risk; ESG risk; disagreement

PL

ocena ESG; ocena kredytowa; ryzyko kredytowe; ryzyko ESG; niezgodność

• Wydawca: Polskie Stowarzyszenie Ekonomistów Środowiska i Zasobów Naturalnych
• Czasopismo: Economics and Environment
• Rocznik: 2025
• Tom: No. 1
• Strony: art. no. 830
• Opis fizyczny: Bibliogr. 46 poz., tab., wykr.

Twórcy

autor

Bernardelli Michał

• Institute of Econometrics, SGH Warsaw School of Economics

• https://orcid.org/0000-0002-5504-257X

autor

Korzeb Zbigniew

• Department of Management, Economy and Finance, Bialystok University of Technology, o. Stefan Tarasiuk Street 2, 16-001 Kleosin, Poland

• https://orcid.org/0000-0001-9690-3842

autor

Niedziółka Paweł

• Institute of Banking, SGH Warsaw School of Economics

• https://orcid.org/0000-0002-1659-7310

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