[STBI-12-05-2016] Quantitative Risk Analysis: An Approach for Vietnam Stock Market

Mr. Nguyen Nam Khanh

11:00 am, Thursday, 12-5-2016
Hall H.001, UEH School of Economics


Value at Risk (VaR) is widely used in risk measurement. It is defined as the worst expected loss of a portfolio under a given time horizon at a given confidence level. The aim of the study is to evaluate performance of 16 VaR models in forecasting one – day ahead VaR for daily return of VNINDEX and a group 8 banking stock indexes including ACB, BVH, CTG, EIB, MBB, SHB, STB, VCB to find out the most appropriate model for each stock index. Three unconditional volatility models including historical, normal and Student’s – t as well as EWMA and two volatility models including GARCH, GJR – GARCH with three return distributions normal, Student’s – t and skewed Student’s – t and associated Extreme Value Theory (EVT) models are performed at 5%, 2.5% and 1% of significance level. Violation ration, Kupiec’s unconditional coverage test, independence test and Christoffersen conditional coverage test are used to backtested performance of all models. Besides statistical analysis, graphical analysis is also incorporated. Backtesting indicates that there is no best model for all cases because of characteristic difference from particular stock index. Implication of this study is that a suitable VaR forecasting model is only chosen after backtesting frequently performance of various models in order to ensure that most relevant and most accurate models are suited for current financial market situation.


Mr. Nguyen Nam Khanh graduated from Vietnam – the Netherlands Programme for M.A in Development Economics. He works on macroeconomics, financial economics, and economics of banking and stock market.

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