기업의 비재무적 성과가 위험에 미치는 영향 : VaR와 ESG 평가를 중심으로

This study focuses on risk and analyzes how non-financial performance affects risk of firm. Through this, we analyze the relationship between non-financial risk and financial risk, and emphasize the importance of risk management in the modern management paradigm of sustainable management. The main analysis results are as follows. First, the returns of companies with poor non-financial performance show relatively higher skewness and kurtosis. As such, they are more exposed to the risk of extreme losses. Second, as a result of comparing VaR for each portfolio, the risk was measured to be higher for companies with poor non-financial performance. Third, we examined whether the risk was appropriately estimated through backtesting of VaR. As a result, it was found that risk was not adequately estimated for companies with poor non-financial performance, and there is a high possibility of underestimating risk. The implications of this study are as follows. First, companies with insufficient non-financial performance need to prepare for extreme losses by setting up a separate risk buffer. Second, in terms of sustainable management, ESG evaluation emphasizes the importance of risk management. And it can be used as very useful information when making risk decisions. Finally, continuous development and improvement of evaluation indicators will be required in order for ESG evaluation to be continuously used as useful information for various stakeholders.