Lalu Ramzy Rahmanda

Climate Risk in ESG Portfolios: Evidence from Indonesian Equity Markets

We examine climate variables in a pipeline for dynamic Value-at-Risk (VaR) of the SRI-KEHATI ESG index and the IHSG (Jakarta Composite Index). Using 1,499 daily observations (20142025), we combine the Least Absolute Shrinkage and Selection Operator (LASSO) over 50 candidate predi...