(LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market
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(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 market ME FOR NLA IN DEVELOPMENT ECONOMICSQUANTITATIVE RISK ANALYSIS: AN APPROACH FOR VIETNAM STOCK MARKETBYNGUYEN NAM KHANHMASTER OF ARTS IN DEVELOPMENT ECONOMICSHO CHI MINH CITY, January 2016UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NET (LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market HERLANDSPROGRAM FOR M.A IN DEVELOPMENT ECONOMICSQUANTITATIVE RISK ANALYSIS:AN APPROACH FOR VIETNAM STOCK MARKETA thesis submitted in partial fulfillme(LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market
nt of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICSByNGUYEN NAM KHANHAcademic SupervisorDr. TRI ONG DANG THUYHo Chi Minh 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 market isk measurement. It is defined as the worst expected loss of a portfolio under a given time horizon at a given confidence level. The 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 stock indexes inclu (LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market ding AGB, BVH, CTG, EIB. MBB. SHB. STB. VCB to find out the most appropriate model for each stock index. Three unconditional volatility models includi(LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market
ng historical, normal and Student’s -1 as well as EWMA and two volatility models including GARCH, GJR - GARCH with three return distributions normal. 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 market ion ration. Kupiec’s unconditional coverage test, independence test and Christoffersen 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 be (LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market cause of characteristic difference from particular stock index. Implication of this thesis is that a suitable VaR forecasting model is only chosen aft(LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market
er backtesting frequently performance of various models in order to ensure that most relevant and most accurate models are suited for current financiaUNIVERSITY 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 tents1Introduction71.1Problem statements....................................... 71.2Research objectives...................................... 81.3Research questions....................................... 91.4Subject and scope of research............................ 91.5Structure of the thesis....... (LUẬN văn THẠC sĩ) quantitative risk analysis, an approach for vietnam stock market ........................... 9UNIVERSITY 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
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