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.
Nội dung trích xuất từ tài liệu:
Applying three var approaches in measuring market risk of stock portfolio: The case study of VN 30 stock basket in HOSE
Applying three var approaches in measuring market risk of stock portfolio: The case study of VN 30 stock basket in HOSE
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Tìm kiếm theo từ khóa liên quan:
Market risk Stock portfolio Variance-covariance Historical simulation Monte Carlo simulationTài liệu có liên quan:
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