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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Những tác giả chính: Nguyen, Quang Thinh, Vo, Thi Quy
Định dạng: Bài viết
Ngôn ngữ:English
Được phát hành: University of Economics Ho Chi Minh City 2023
Truy cập trực tuyến:http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=6648383a-73f8-425a-b658-53afe2117bad
http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115542
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spelling oai:scholar.dlu.edu.vn:DLU123456789-1155422023-03-08T03:56:57Z Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE Nguyen, Quang Thinh Vo, Thi Quy 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 assessing the validity of the VaR performance in the timeframe of January 30, 2012–February 26, 2016. The models are constructed from two volatility methods of stock price: SMA and EWMA throughout the five chosen confi-dence level: 90%, 93%, 95%, 97.5%, and 99%. The findings of the study show that the differences among the results of three models are not significant. Additionally, three VaR (Value at Risk) models have generally the similar accepted range assessed in both types of back-tests at all confidence levels considered and at the 97.5% con-fidence level. They can work best to achieve the highest validity level of results in satisfying both conditional and unconditional back-tests. The Monte Carlo Simulation (MCS) has been considered the most appropriate method to apply in the context of VN-30 port-folio due to its flexibility in distribution simulation. Recommenda-tions for further research and investigations are provided according-ly. 2023-03-08T03:56:57Z 2023-03-08T03:56:57Z 2017 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=6648383a-73f8-425a-b658-53afe2117bad http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115542 10.24311/jabes/2017.24.2.03 en Journal of Asian Business and Economic Studies, Volume 24, Issue 02; p. 90-113 application/pdf University of Economics Ho Chi Minh City
institution Thư viện Trường Đại học Đà Lạt
collection Thư viện số
language English
description 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 assessing the validity of the VaR performance in the timeframe of January 30, 2012–February 26, 2016. The models are constructed from two volatility methods of stock price: SMA and EWMA throughout the five chosen confi-dence level: 90%, 93%, 95%, 97.5%, and 99%. The findings of the study show that the differences among the results of three models are not significant. Additionally, three VaR (Value at Risk) models have generally the similar accepted range assessed in both types of back-tests at all confidence levels considered and at the 97.5% con-fidence level. They can work best to achieve the highest validity level of results in satisfying both conditional and unconditional back-tests. The Monte Carlo Simulation (MCS) has been considered the most appropriate method to apply in the context of VN-30 port-folio due to its flexibility in distribution simulation. Recommenda-tions for further research and investigations are provided according-ly.
format Article
author Nguyen, Quang Thinh
Vo, Thi Quy
spellingShingle Nguyen, Quang Thinh
Vo, Thi Quy
Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
author_facet Nguyen, Quang Thinh
Vo, Thi Quy
author_sort Nguyen, Quang Thinh
title Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
title_short Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
title_full Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
title_fullStr Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
title_full_unstemmed Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE
title_sort applying three var (value at risk) approaches in measuring market risk of stock portfolio: the case study of vn-30 stocks basket in hose
publisher University of Economics Ho Chi Minh City
publishDate 2023
url http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=6648383a-73f8-425a-b658-53afe2117bad
http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115542
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