This paper empirically examines the relationship between Corporate Social Responsibility (CSR) and financial risk by measuring the Valueat Risk (VaR) of a sample of 1091 international stocks during the period 2007-2012. CSR data are extracted from the Vigeo social ratings while the VaR of individual stock returns is calculated using GARCH time series models to account for volatility over time. This approach not only allows investigating the relationship between CSR and the risk level of stock returns as in prior studies, but also enables measuring the impact of CSR on the risk dynamic of stock returns and risk predictability. In terms of the estimated risk characteristics, we conclude that good ‘Corporate Governance’ scores reduce the downside risk level (measured by VaR), dampen the effect of negative returns on volatility by reducing the leverage effect (for the ‘Human Resources’ and ‘Community Involvement’ dimensions) and by softening the volatility movements (for the ‘Human Rights at workplaces’ and ‘Community Involvement’ dimensions). In terms of risk predictability, we find a clear relationship between the ‘Human Resources’ dimension and the statistical quality of the prediction of stock return risk (measured by VaR) for short sales.