Indicators used in the model
| Type of indicator | Abbreviation ofindicator | Name of indicator | Source | Aim of the indicatorin the model | VIF |
|---|---|---|---|---|---|
| Credit risk indicators | AltmanZ | Altman Z-score | Bloomberg terminal | The purpose of this indicator is to measure credit risk | - |
| 1yrPD | 1-year probability of default | Bloomberg terminal | |||
| 1yrDD | 1-year distance to default | Bloomberg terminal | |||
| CDS | CDS spread | Bloomberg terminal | |||
| Financial indicators | EBIT | EBIT | Bloomberg terminal | The purpose of this indicator is to reflect the impact of financial indicators on credit risk | 2.56 |
| FinLev | Financial leverage | Bloomberg terminal | 1.49 | ||
| IntCov | Interest coverage ratio | Bloomberg terminal | 1.23 | ||
| NDSE | Net debt to shareholders equity | Bloomberg terminal | 1.46 | ||
| NDCF | Net debt to cash flow | Bloomberg terminal | 1.35 | ||
| OperMargin | Operating margin | Bloomberg terminal | 2.58 | ||
| ProfitMargin | Profit margin | Bloomberg terminal | 2.77 | ||
| ROE | ROE | Bloomberg terminal | 1.90 | ||
| Asset | Total asset | Bloomberg terminal | 2.91 | ||
| ESG indicators | AuditMeetings | Number of audit committee meetings per year | Bloomberg terminal | A higher number of meetings is assumed to be associated with higher governance standards, which implies better transparency | 2.51 |
| BoardMeetings | Number of board meetings per year | Bloomberg terminal | 1.43 | ||
| ESGD | ESG disclosure score | Bloomberg terminal | Higher ESG disclosure score is associated with better transparency | 2.47 | |
| GRIE | Number of documents per year mentioning GRI environmental standards (301, 302, 303, 304, 305, 306, 307) | Bloomberg terminal (the calculation was done by authors) | The purpose of this indicator is to assess whether the company is committed to ESG reporting and meeting the highest reporting standards | 2.24 | |
| GRIG | Number of documents per year mentioning GRI governance standards (201, 203, 205, 207, 419) | Bloomberg terminal (the calculation was done by authors) | 2.32 | ||
| GRIS | Number of documents per year mentioning GRI social standards (401, 402, 403, 404, 405, 406, 413, 414) | Bloomberg terminal (the calculation was done by authors) | 2.93 | ||
| Women | Percentage of women on the board | Bloomberg terminal | A higher percentage of women in an organization is associated with greater equality. This, in turn, is linked to higher standards of governance, leading to a better transparency | 2.22 | |
| GRI | Change in the number of documents per year that mention GRI | Bloomberg terminal (the calculation was done by authors) | The indicator is calculated from 2016, the year of the Paris Agreement. The purpose of this indicator is to measure changes in accountability since the signing of the Paris Agreement, which is a significant event for sustainability. | 1.21 | |
| SASB | Change in the number of documents per year that mention SASB | Bloomberg terminal (the calculation was done by authors) | 1.32 | ||
| TCFD | Change in the number of documents per year that mention TCFD | Bloomberg terminal (the calculation was done by authors) | 1.34 | ||
| PostMore | Annual change in ESG disclosure score for companies in the more sustainable sector | Bloomberg terminal (the calculation was done by authors) | 1.04 | ||
| PostMixed | Annual change in ESG disclosure score for companies in the mixed sector | Bloomberg terminal (the calculation was done by authors) | 1.72 | ||
| PostLess | Annual change in ESG disclosure score for companies in the less sustainable sector | Bloomberg terminal (the calculation was done by authors) | 1.10 |
| Type of indicator | Abbreviation ofindicator | Name of indicator | Source | Aim of the indicatorin the model | |
|---|---|---|---|---|---|
| Credit risk indicators | AltmanZ | Altman Z-score | Bloomberg terminal | The purpose of this indicator is to measure credit risk | - |
| 1yrPD | 1-year probability of default | Bloomberg terminal | |||
| 1yrDD | 1-year distance to default | Bloomberg terminal | |||
| Bloomberg terminal | |||||
| Financial indicators | Bloomberg terminal | The purpose of this indicator is to reflect the impact of financial indicators on credit risk | 2.56 | ||
| FinLev | Financial leverage | Bloomberg terminal | 1.49 | ||
| IntCov | Interest coverage ratio | Bloomberg terminal | 1.23 | ||
| Net debt to shareholders equity | Bloomberg terminal | 1.46 | |||
| Net debt to cash flow | Bloomberg terminal | 1.35 | |||
| OperMargin | Operating margin | Bloomberg terminal | 2.58 | ||
| ProfitMargin | Profit margin | Bloomberg terminal | 2.77 | ||
| Bloomberg terminal | 1.90 | ||||
| Asset | Total asset | Bloomberg terminal | 2.91 | ||
| AuditMeetings | Number of audit committee meetings per year | Bloomberg terminal | A higher number of meetings is assumed to be associated with higher governance standards, which implies better transparency | 2.51 | |
| BoardMeetings | Number of board meetings per year | Bloomberg terminal | 1.43 | ||
| Bloomberg terminal | Higher | 2.47 | |||
| Number of documents per year mentioning | Bloomberg terminal (the calculation was done by authors) | The purpose of this indicator is to assess whether the company is committed to | 2.24 | ||
| Number of documents per year mentioning | Bloomberg terminal (the calculation was done by authors) | 2.32 | |||
| Number of documents per year mentioning | Bloomberg terminal (the calculation was done by authors) | 2.93 | |||
| Women | Percentage of women on the board | Bloomberg terminal | A higher percentage of women in an organization is associated with greater equality. This, in turn, is linked to higher standards of governance, leading to a better transparency | 2.22 | |
| Change in the number of documents per year that mention | Bloomberg terminal (the calculation was done by authors) | The indicator is calculated from 2016, the year of the Paris Agreement. The purpose of this indicator is to measure changes in accountability since the signing of the Paris Agreement, which is a significant event for sustainability. | 1.21 | ||
| Change in the number of documents per year that mention | Bloomberg terminal (the calculation was done by authors) | 1.32 | |||
| Change in the number of documents per year that mention | Bloomberg terminal (the calculation was done by authors) | 1.34 | |||
| PostMore | Annual change in | Bloomberg terminal (the calculation was done by authors) | 1.04 | ||
| PostMixed | Annual change in | Bloomberg terminal (the calculation was done by authors) | 1.72 | ||
| PostLess | Annual change in | Bloomberg terminal (the calculation was done by authors) | 1.10 |
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