A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...

Recent empirical studies show that ESG sentiment, the attitude of investors toward a company’s ESG performance, is a major factor that affects stock performance. While investing in ESG could bring potential risk deduction benefits, changing ESG sentiments in the market will lead to additional...