Sökning: "Ngoc Ha Dang"

Hittade 1 uppsats innehållade orden Ngoc Ha Dang.

  1. 1. Estimation of the market risk exposure of Vietnamese banks’ portfolios using VaR approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ngoc Ha Dang; Thi Huyen Vi Nguyen; [2008]
    Nyckelord :Value-at-Risk; non-parametric; Market risk; Backtesting; Parametric; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper analyses the effectiveness of different methods to estimate Value-at-Risk (VaR) of VN-index, proxy of a Vietnamese bank’s portfolio. Both parametric and non-parametric approaches are employed to estimate daily VaRs for two sets of data, one of those sets is 8 months behind the other. LÄS MER