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dc.contributor.advisorDr. Truong Dang Thuyen_US
dc.contributor.authorNguyen Nam Khanhen_US
dc.description.abstractValue at Risk (VaR) is widely used in risk measurement. It is dened as the worst expected loss of a portfolio under a given time horizon at a given condence level. The aim of the thesis is to evaluate performance of 16 VaR models in forecasting one - day ahead VaR for daily return of VNINDEX and a group 8 banking stock indexes including ACB, BVH, CTG, EIB, MBB, SHB, STB, VCB to nd out the most appropriate model for each stock index. Three unconditional volatility models including historical, normal and Students - t as well as EWMA and two volatility models including GARCH, GJR - GARCH with three return distributions normal, Students - t and skewed Students - t and associated Extreme Value Theory (EVT) models are performed at 5%, 2.5% and 1% of signicance level. Violation ration, Kupiecs unconditional coverage test, independence test and Christo⁄ersen conditional coverage test are used to backtested performance of all models. Besides statistical analysis, graphical analysis is also incorporated. Backtesting indicates that there is no best model for all cases because of characteristic di⁄erence from particular stock index. Implication of this thesis is that a suitable VaR forecasting model is only chosen after backtesting frequently performance of various models in order to ensure that most relevant and most accurate models are suited for current nancial market situation.en_US
dc.format.medium80 p.en_US
dc.publisherUniversity of Economics Ho Chi Minh City; VNP (Vietnam – The Netherlands Programme for M.A. in Development Economics)en_US
dc.subjectValue at Risken_US
dc.subjectExtreme Value Theoryen_US
dc.subjectFinancial risk managementen_US
dc.subjectConditional volatility modelen_US
dc.subjectStock indexen_US
dc.titleQuantitative risk analysis: an approach for Vietnam stock marketen_US
dc.typeMaster's Thesesen_US
ueh.specialityDevelopment Economics = Kinh tế phát triểnen_US
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