TAILIEUCHUNG - Measuring the market risk of VN-index portfolio by value at risk model

The paper presents an econometric approach based on time series models AR, MA and ARMA combined with ARCH, GARCH and developed GARCH models to forecast and quantify market risk via VaR measure for market portfolio (VN-Index, thereby offering some technical conclusions about characteristics of the VN-Index and suggestions for investors about a flexible and proactive risk management based on VaR measure for their portfolios. | RESEARCHES & DISCUSSIONS The paper presents an econometric approach based on time series models AR, MA and ARMA combined with ARCH, GARCH and developed GARCH models to forecast and quantify market risk via VaR measure for market portfolio (VN-Index, thereby offering some technical conclusions about characteristics of the VN-Index and suggestions for investors about a flexible and proactive risk management based on VaR measure for their portfolios Keywords: VaR identifying model, VN-Index ROR, Basel criteria, price fluctuation band, market risk 1. Problem Financial collapses in the early 1990s and recent years among major financial organizations in many countries all over the world originate from the unusual upheavals in market conditions. Billions of dollar have been lost and many valuable lessons drawn. This situation has made market risk the biggest worry for planners, investors and law-makers as well. Developed since 1993, Value at Risk measure, abbreviated as VaR, was considered as a breakthrough and effective tool for measuring and managing market risk. Amended Basel Agreement 1996 considered VaR the basis for a legal infrastructure, and a uniform and level playing field for international financial organizations. The application of VaR in financial organizations is continuously developed, which can be generalized through three main levels: measurement criteria; a tool for comparing the market risk degrees among different positions; and an instrument for managing risk in a proactive and flexible manner. In stock investment, VaR is used for not only identifying and forecasting the possible maximum loss, helping establish the necessary capital at risk in a risky stock market, but also as a basis for controlling the market risks, evaluating the results of investment adjusted to risk and scientific grounds for allocating more capital to or withdrawing it from a certain portfolio. As for Vietnamese stock market, market risk has not been paid much attention. Almost

• Kinh tế học
• VaR identifying model
• VN Index ROR
• Basel criteria
• Price fluctuation band
• Market risk
• Market risks and operating risks
• Decision making process
• Capital budgeting and investment
• Acceptable risk level
• Market Risk and Firm Risk
• Fama and French three factor model
• Book to market equity
• The Vietnamese stock market
• Market risk premium
• Financial risk manager
• Financial risk
• Financial manager
• Market risk management
• Credit risk management
• Integrated risk management
• Investment risk management
• Stock market development
• Business cycle and risk
• Tehran Stock Exchange
• Market development Banks
• Financial market development
• Tail risk
• Value at risk
• Goodness of fit
• Equity market tail events
• Risk management
• Heavy tailed distributions
• Lecture Risk management
• Financial institutions
• Classification of risk
• Enterprise risk management
• Insurance market dynamics
• Financial market
• Bank risk
• Commercial banking operation in Vietnam
• Policy making efforts
• Asset price volatility
• Vietnam stock market
• Estimate market risks
• Risk management models
• Master Thesis in Economics
• Master Thesis in Economics sample
• Evaluation of Selected Value
• Risk Approaches
• Extreme Market Conditions
• Normal Market Conditions
• Real estate investing
• Market analysis
• Valuation techniques
• The market research
• Investment strategies
• Default risk
• Risk measurementm
• Listed companies
• Combined model
• Vietnamese stock market
• Vietnamese economy
• Historical simulation
• Confidence interval
• Historical simulation approach
• Identifying factors influencing on financial risk of construction firms
• Identifying factors influencing
• Construction firms
• The Security Market Line
• Portfolio Risk
• Expected Returns
• The Cost of Capital
• Systematic Risk
• Macroprudential regulation
• Market liquidity
• Illiquidity option
• Taiwans capital market
• Systemic risk
• risk securities
• securities analysis
• stock market
• stock indices
• risk investment
• stock trading
• basic process
• Market testing
• Cost estimating
• private financing
• Risk return Portfolio theory asset pricing models
• Portfolio theory
• Capital asset pricing model
• Capital market line
• Security market line
• Arbitrage pricing theory
• Doctoral dissertation
• Vietnam joint stock commercial bank
• General issues
• Stock portfolio
• Variance covariance Historical simulation
• Monte Carlo simulation
• Noise trader risk
• Vietnam’s stock market
• Behavioral capital asset pricing model
• Kurtosis coefficient
• Risk spillover effect
• Securities companies
• Capital market
• The CoVaR method
• Securities companies in China’s