| dc.description.abstract | Value at risk has become a widely used standard measure of market risk of portfolios if the adverse events in the market occur. Recently, proposed standard market risk-capital base framework based on VAR has been implemented in many banks and institutions. This study examines and applies the three statistical value at risk models including: The 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 30/01/2012-26/02/2016. The finding results of the models are conducted from two volatility method of stock price: SMA and EWMA throughout the five chosen confidence level: 90%, 93%, 95%, 97.5% and 99%. The findings of the study show that the differences among the results of three models are not significant and besides, during the timeframe chosen the market condition didn’t fluctuate too much and hence the results conducted from two volatility methods are approximately similar. Additionally, three VAR models have generally the same validity level assessed in each confidence level considered and at the 97.5% confidence level, the VAR models can work best to achieve the highest validity level of results in satisfying both conditional and unconditional back-tests. Besides, the Monte Carlo Simulation (MCS) has been considered to be the most appropriate method to apply in the context of VN-30 portfolio due to its flexibility in distribution simulation. However, there are still other many VAR models that can be investigated for further research in the context of Vietnam stock market and this study does not conclude that MCS would be the best suitable method but it is only the reasonable method suggested by the author among the three mentioned in the study context. Hence choosing an appropriate method would depend on the perspective of investors and users and this study just hope to contribute an implication understanding of VAR measure in evaluating their performance and decisions making.
Key words: value at risk, market risk, stock portfolio. | en_US |
