Quantitative risk analysis an approach for vietnam stock market
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Quantitative risk analysis an approach for vietnam stock market
UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMERASMUS UNVERSITY ROTTERDAM INSTITUTE OF SOCIAL STUDIES THE NETHERLANDSVIETNAM - THE NETHERLANDS PROGR Quantitative risk analysis an approach for vietnam stock market RAMME FOR M.A IN DEVELOPMENT ECONOMICSQUANTITATIVE RISK ANALYSIS: AN APPROACH FOR VIETNAM STOCK MARKETNGUYEN NAM KHANHMASTER OF ARTS IN DEVELOPMENT ECONOMICSHO CHI MINH CITY, January 2016CHI MINH CITY VIETNAMTN.iTITUTE or .-jOCIAL iTUDir1THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDSPROGRAM FOR M.A Quantitative risk analysis an approach for vietnam stock market IN DEVELOPMENT ECONOMICSQUANTITATIVE RISK ANALYSIS:AN APPROACH FOR VIETNAM STOCK MARKETA thesis submitted in partial fulfillment of the requirements fQuantitative risk analysis an approach for vietnam stock market
or the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICSByNGUYEN NAM KHANHAcademic SupervisorDr. TRUONG DANG THUYHo Chi Minh City, January 2016QUANTITUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMERASMUS UNVERSITY ROTTERDAM INSTITUTE OF SOCIAL STUDIES THE NETHERLANDSVIETNAM - THE NETHERLANDS PROGR Quantitative risk analysis an approach for vietnam stock market rement. It is defined as the worst expected loss of a portfolio under a given time horixon at a given confidence level. The aim of the thesis is to evaluate performance of ÍĨ6 VaR models in forecasting one - day ahead VaR for daily return of VNIN- DEX and a group 8 banking stock indexes including AG Quantitative risk analysis an approach for vietnam stock market B, BVH, GTG. EIB. MBB, SHB, STB. VGB to find out the most appropriate model for each stock index. Three unconditional volatility models including histQuantitative risk analysis an approach for vietnam stock market
orical, normal and Student's - t as well as EWMA and two volatility models including GARGH, GJR - GARGH with three return distributions normal. StudenUNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMERASMUS UNVERSITY ROTTERDAM INSTITUTE OF SOCIAL STUDIES THE NETHERLANDSVIETNAM - THE NETHERLANDS PROGR Quantitative risk analysis an approach for vietnam stock market tion. Kupiec's unconditional coverage test, independence test and Ghristoffersen conditional coverage test are used to backtested performance of all models. Besides statistical analysis, graphical analysis is also incorporated. Backtest- ing indicates that there is no best model for all cases becaus Quantitative risk analysis an approach for vietnam stock market e of character- istic difference from particular stock index. Implication of this thesis is that a suitable VaR forecasting model is only chosen afterQuantitative risk analysis an approach for vietnam stock market
backtesting frequently performance of various models in order to ensure that most relevant and most accurate models are suited for current financial UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMERASMUS UNVERSITY ROTTERDAM INSTITUTE OF SOCIAL STUDIES THE NETHERLANDSVIETNAM - THE NETHERLANDS PROGR Quantitative risk analysis an approach for vietnam stock market temts1 Imtroductiom5fi.fiProblem statements......................................... tfi.£Research objectives..........................................8fi.3Research questions...........................................9fi.4Subject and scope ofresearch................................9 Quantitative risk analysis an approach for vietnam stock market UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMERASMUS UNVERSITY ROTTERDAM INSTITUTE OF SOCIAL STUDIES THE NETHERLANDSVIETNAM - THE NETHERLANDS PROGRGọi ngay
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