Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
This study examines and applies the three statistical value at risk models including variance-covariance, historical simulation, and Monte Carlo simulation in measuring market risk of VN-30 portfolio of Ho Chi Minh stock exchange (HOSE) in Vietnam stock market and some back-testing techniques in ass...
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| Auteurs principaux: | , |
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| Format: | Article |
| Langue: | English |
| Publié: |
University of Economics Ho Chi Minh City
2023
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| Accès en ligne: | http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=6648383a-73f8-425a-b658-53afe2117bad https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115542 |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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