The project is based on the discussion at the FIRM Fall Conference, where the proposers presented a paper on “A machine learning approach to measuring non-answers.” On it
Building on this, the new project will analyze operational ESG risks and climate risks. Climate risks are defined as exogenous, ESG risks as endogenous.
The basic idea is to analyze the response behavior of managers during conference calls. To what extent do managers satisfactorily answer analyst questions about ESG and climate risks,
hesitant or not at all? In the second step, a score for non-response behavior is derived from this. This will be examined to see how it affects risk measures such as equity volatility,value-at-risk, credit r isk, systemic risk. AI and machine learning are used for this purpose to train computers to analyze response behavior.