Vietnamese (VN)English (UK)

[STBI-12/5/2016] 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
1A Hoang Dieu Street, Ward 10, Phu Nhuan District



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.




Điều kiện dự thi:

  • Thí sinh có bằng tốt nghiệp đại học thuộc khối ngành kinh tế hoặc bằng tốt nghiệp đại học ngoài khối ngành kinh tế kèm chứng chỉ bổ sung kiến thức.
  • Thí sinh dự thi 2 môn bằng tiếng Anh (Toán, Kinh tế học).


Yêu cầu tiếng Anh đầu vào:

  • Tương đương khung B2 Châu Âu (CEFR B2, TOEIC 600, IELTS 5.5, TOEFL 500 BPT, 173 CBT, 61 iBT)


Lớp ôn tập:

  • Lớp ôn cấp tốc (đợt cuối): Tối thứ 5 - Trưa thứ 7 - Khai giảng 20/07/2017


Lịch thi tuyển sinh: 10/09/2017


Lịch khai giảng dự kiến khóa 24: 28/10/2017


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