Measuring the market risk for the selected asean countries a value at risk approach
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Measuring the market risk for the selected asean countries a value at risk approach
Measuring the market risk for the selected asean countries a value at risk approach
MINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-A Measuring the market risk for the selected asean countries a value at risk approach AT-RISK APPROACHTHESIS OF MASTER OF FINANCE AND BANKINGIICMC - May 2018MINISTRY OF EDUCATION & TRAININGHO CHI MINH CIT Y OPEN UNIVERSITY4TDANG TUONG THU ANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES:A VALUE-AT-RISK APPROACHMajor:Finance and BankingMajor Code:60 34 02 01THESIS OF MASTE Measuring the market risk for the selected asean countries a value at risk approach R OF FINANCE AND BANKINGAcademic Supervisor:Dr. VO HONG DUCDECLARATIONI hereby declare, that this thesis. “Measuring the market risk for the selectedMeasuring the market risk for the selected asean countries a value at risk approach
ASEAN countries: A Value-at-Risk approach” is written and submitted by me in fulfillment of the requirements for Master of Finance and Banking ProgramMINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-A Measuring the market risk for the selected asean countries a value at risk approach een submitted for any other subjects or equivalent course.HCMC, May 2018Dang Tuong ThuanACKNOWLEDGEMENTI would like to thank all those whose assistance proved to be a milestone in the accomplishment of my end goal.First and foremost. I would like to express a special appreciation to my academic advi Measuring the market risk for the selected asean countries a value at risk approach sor - Dr. Vo Hong Due. for his supports, guidance and patience. It is obviously a privilege of mine.I would like to thank my dear friends for theữ encMeasuring the market risk for the selected asean countries a value at risk approach
ouragements. Especially. I want to give back a whole meaning of thank you to my fellow friend Pham Ngoc Thach for his countless supports on along the MINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-A Measuring the market risk for the selected asean countries a value at risk approach been.iiABSTRACTOne of the key concepts of risk measurements in financial and industrial sector is the probability-based risk measurement method known as Value-at-Risk or VaR. The results produced by a VaR model are simple for all levels of staff from all areas of an organization to understand and a Measuring the market risk for the selected asean countries a value at risk approach ppreciate. That is why VaR has been adopted so rapidly. While VaR is an important issue for banks since its adoption as a primaryrisk metric in the BaMeasuring the market risk for the selected asean countries a value at risk approach
sel Accords, there has been little investigation of industry based VaR or CVaR metrics in to the author's knowledge.This study is designed to achieve MINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-A Measuring the market risk for the selected asean countries a value at risk approach Vietnam. Singapore. Malaysia and Thailand from 2007-2016. Second, rhe estimates of Beta in CAPM are then compared with the relative level of risk exhibited by key industries obtained from the VaR and CVaR techniques. The findings are noticeable. First, by both historical and parametric VaR. finance Measuring the market risk for the selected asean countries a value at risk approach and real estate arc ranked to be the highest risk industries in Vietnam throughout the 10-year period. However, there are differences of industry’ risMeasuring the market risk for the selected asean countries a value at risk approach
k takings in other countries, being Singapore, Thailand and Malaysia. Second, by CAPM, energy businesses face a relatively higher risk in comparison wMINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-A Measuring the market risk for the selected asean countries a value at risk approach he relatively rankings of Utility- sector by two method arc completely opposite.Keywords: Value at Risk. Conditional Value at Risk, industry risk. CAPM.ASEANiii"Research is formalized curiosity. It is poking and prying with a purpose. " Measuring the market risk for the selected asean countries a value at risk approach MINISTRY OF EDUCATION & TRAINING HO CHI MINH CITY OPEN UNIVERSITYDANG TUONG THUANMEASURING THE MARKET RISK FOR THE SELECTED ASEAN COUNTRIES: A VALUE-AGọi ngay
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