Essays about: "Thi Huyen Vi Nguyen"

Found 1 essay containing the words Thi Huyen Vi Nguyen.

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

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ngoc Ha Dang; Thi Huyen Vi Nguyen; [2008]
    Keywords : 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;

    Abstract : 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. READ MORE