Incorporating ESG Risk In Fundamental Market Risk Models

This working paper is motivated by the current struggle to restrict the climate change by establishing and adhere to criteria that promote primarily Environmental, but also Social and Governmental, aspects. These aspects are usually abbreviated by ESG. Due to the urgency of the topic, there is currently a large amount of terms and definitions, that partly refer to the same topic, but differ in their meaning and content, e.g. there is still no standard definition of ESG Risk and Sustainable Investment available.