(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

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(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement EVELOPMENT ECONOMICSMARKET RISK VERSUS CREDIT RISK OF SELECTED COUNTRIES IN THE TRANS-PACTFIC PARTNERSHIP AGREEMENTBYQUANG VAN TUANMASTER OF ARTS IN D

EVELOPMENT ECONOMICSftHO CHI MINH CITY43070UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STI DIESHO CHI MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM (LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

- THE NETHERLANDSPROGRAMME FOR M.A. IN DEVELOPMENT ECONOMICSMARKET RISK VERSUS CREDIT RISK OF SELECTED COUNTRIES IN THE TRANS PACIFIC PARTNERSHIP AGRE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

EMENTA thesis submitted in partial fulfilment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICSBYQUANG VAN TUANAcademic Su

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement Agreement (TPP) is still uncertain after the US Present Donald Trump walked away from his predecessor Barack Obama's commitment. A different version o

f 1PP. or to be called the Comprehensive and Progressive Agreement for Irans-Pacifrc Partnership (CP1PP). may be formed without the US presence. Among (LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

these member countries. Vietnam and Malaysia (in the ASLAN), together with Australia and New Zealand, in the Pacific Ocean, are generally considered

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

closely competitive nations for various industries, in particular for Agriculture; Food and Beverage and Tourism.This study is conducted to measure an

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement Two periods are considered in market risk, including: (i) the GFC period (2007-2009); and (ii) the post-GFC period (2010-2016). The market risk level

is measured using the parametric approach and the historical approach for both Value at Risk (VaR), the potential losses in the future over the given (LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

time period (day or month) at a given confidential level, and Conditional Value at Risk (CVaR). which is designed to estimate the risk of extreme los

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

s.Findings from this study confinn that Vietnamese sectors are relatively riskier than their counterparts in Malaysia. Australia and New Zealand. In a

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement inancials, and Insurance have been largely ignored from the Vietnamese Government’s focus. Interestingly. IT industry is considered very low risk in V

ietnam whereas this sector belongs to a group of high market risk in Malaysia. Australia, and New Zealand.I llis study is then extended to measure and (LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

rank the credit risk level for all industries for Vietnam as the case study. Credit risk is generally defined as the risk that is determined on a cre

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

dit requirement from the default. Findings from this empirical study indicate that Industrials, Energy and Consumer Discretionary sectors have had the

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement periods. In addition, this study alsodemonstrated an important link between market risk and credit risk, which can provide an important insight to de

velop for further issues integrating these aspects.With the ambition to be a financial hub in the Asia Pacific region in the regional integration and (LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

a modem industrial economy, a shift of the attention to this particular and important sector in Vietnam is the near future is strongly recommended.Key

(LUẬN văn THẠC sĩ) market risk versus credit risk of the selected countries in the trans pacific partnership agreement

words: Market risk; Credit risk; Sectors; VaR; CVaR; DD: Vietnam; Malaysia.Australia, New Zealandii

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIESHO C HI -MINH CITYTHE HAGUEVIETNAMTHE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRAMME FOR M.A. IN DE