Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
UNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMM Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock marketME FOR NLA IN DEVELOPMENT ECONOMICSQUANTITATIVE RISK ANALYSIS: AN APPROACH FOR VIETNAM STOCK MARKETBYNGUYEN NAM KHANHMASTER OF ARTS IN DEVELOPMENT ECONOMICSHO CHI MINH CITY, January 2016QUANTITATIVE RISK ANALYSIS: AN APPROACH FOR VIETNAM STOCK MARKETNguyen Nam Khanh42384AbstractValue at Risk (VaR) i Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock markets widely used in risk measurement. It is defined as the worst expected loss of a portfolio under a given time horizon at a given confidence level. TheLuận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
aim of the thesis is to evaluate performance of 16 VaR models in forecasting one - day ahead VaR for daily return of VTỈINDEX and a group 8 banking sUNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMM Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock marketity models including historical, normal and Student’s -1 as well as EWMA and two volatility models including GARCH, GJR - GARCH with three return distributions normal. Student's - t and skewed Student's - t and associated Extreme Value Theory (EVT) models are performed at 5%. 2.5% and 1% of signific Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock marketance level. Violation ration. Kupiec’s unconditional coverage test, independence test and Christoffersen conditional coverage test are used to backtesLuận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
ted performance of all models. Besides statistical analysis, graphical analysis is also incorporated. Backtesting indicates that there is no best modeUNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMM Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock marketis only chosen after backtesting frequently performance of various models in order to ensure that most relevant and most accurate models are suited for current financial market situation.Keywords: Value at Risk. Extreme Value Theory, financial risk management. conditional volatility model, backtesti Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock marketng, stock indexContents1Introduction71.1Problem statements....................................... 71.2Research objectives.............................Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
......... 81.3Research questions....................................... 91.4Subject and scope of research............................ 91.5Structure ofUNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMM Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market data............................ 112.1.2Concept of Risk.................................. 122.1.3Classification of Risk........................... 132.1.4Risk measurement andCoherence................... 132.2Theoretical review ..................................... 142.2.1Value at Risk.............. Luận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market...................... 142.2.2GARCH............................................ 172.2.3Extreme Value Theory............................. 172.3EmpiricaLuận văn thạc sĩ quantitative risk analysis, an approach for vietnam stock market
l studies review................................ 182.3.1Empirical research on modelingand measuring VaR . . 182.3.2Empirical research on Extreme ValueUNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMMUNIVERSITY OF ECONOMICSERASMUS UNVERSITY ROTTERDAMHO CHI MINH CITYINSTITUTE OF SOCIAL STI DIESVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMMGọi ngay
Chat zalo
Facebook