Sökning: "Ngoc Ha Dang"
Hittade 1 uppsats innehållade orden Ngoc Ha Dang.
1. Estimation of the market risk exposure of Vietnamese banks’ portfolios using VaR approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
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