Regarding the inquiry and corresponding data years for the TESG Rating Index announcement dates:
The TESG Index was officially released at the end of March 2022, and it included historical TESG ratings data from 2015 to 2020. Therefore, when interpreting the data, the rating dates from 2015 to 2020 align with the respective annual sustainability reports.
For example, the TESG rating for the year 2020 corresponds to the sustainability report for the year 2020.
Regarding the sustainability reports for the year 2021, they were announced by September 2022. TEJ conducted two assessments in October 2022 and May 2023. For example, the assessment date would be October 2022, which corresponds to the sustainability report for the year 2021, and so on. It is recommended to consider the "Sustainability Report Year" field to understand the corresponding sustainability report year for a specific assessment date.
The update frequency for the TESG Rating Index is semi-annual, with announcements made every six months.
Prior to 2021, the assessment was updated annually. However, starting from the second half of 2022, updates occur in May and November each year. The difference between these updates lies in the daily assessment of ESG-related events and the monthly assessment of certain issues.
CCRQM is a purely quantitative model which contains 4-dimensional variables including profitability, safety, efficiency, and corporate governance.
Compared to listed companies, the information of unlisted companies is hard to amass. Thus, TEJ designed the Unlisted China bond searching system and CCRQM online rating system, by which you can insert a few specific indicators to get risk ratings rapidly!
You will find a“diversification effects”column in the reports which shows the risk reduction effect if an asset negatively correlated with the portfolio is constructed. You can also infer this information from the positive or negative sign of the incremental VaR.
Assuming that all variables are independent and identically distributed (so that time conforms to the laws of arithmetic) and because variance is a square value, the total VaR is calculated as daily VaR multiplied by the square root of the number of days for which the assets are held.
Yield values come from three sources: benchmark government bond yields, spline-fitted zero-coupon yields, and interest rate swap (IRS) yields.
Performance index VaR is the benchmark VaR per unit of investment target. It is useful when comparing the risk of a given target with a benchmark instrument (e.g., securities vs. weighted stock market indices). It can be interpreted as the increase in the target’s risk exposure per additional unit of VaR.
Geometric Brownian Motion (GBM) is used for equity and foreign exchange factors, whereas the Vasicek Model is used for interest rate factors owing to their tendency of mean reversion.
To update a portfolio, simply reupload it to the system. Historical values will remain in the system. Warning: Do not delete the portfolio. Doing so will also delete all historical reports from the system.