Dear professors, lecturers, researchers, colleagues, and students,
You are cordially invited to the next UEH School of Economics STBI (Small Talks Big Ideas) seminar.
Topic: Application of Value at Risk Model to Portfolio Risk Management.
Time: 11:00 – Wednesday, 10 April 2019
Venue: Room H.001, Campus H, UEH School of Economics, 1A Hoang Dieu, Phu Nhuan District, Ho Chi Minh City
Language: Tiếng Việt
Trading in Vietnam stock market is in a volatile condition. Economic and political instabilities in Vietnam and region have posed challenges in making investment decisions. Thus, an appropriate measure of portfolio risk is required. During two past decades, several methods calculating VaR have been developed and significantly contributed to research in economics and finance. However, those methods are built basing on strong assumptions such as the normal distribution of investment returns. This assumption proves impractical and rare in time series data. To deal with the limitations, many approaches – E-VaR, Stress test or Backtest are highly recommended to test the validity of VaR. This study employs the Backtest to test whether or not the VaR accurately represents reality.
About the presenter:
Ph.D. Nguyễn Tuấn Duy is a lecturer of the faculty of fundamentals, University of Finance – Marketing. His research interests are mathematical economics, differential and integral Equations and Nonlinear analysis.