Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE
Nguyen Quang Thinh, Vo Thi Quy
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Nguyen Quang Thinh ; Vo Thi Quy |
| Published in: |
Journal of economic development. - Hochiminh City : University of Economics Hochiminh City, ISSN 1859-1116, ZDB-ID 2869684-0. - Vol. 24.2017, 2, p. 90-113
|
| Subject: | Value at risk | Market risk | Stock portfolio | Variance-covariance | Historical simulation | Monte Carlo simulation | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Simulation | Monte-Carlo-Simulation | Theorie | Theory | Marktrisiko | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Risiko | Risk | Kapitalanlage | Financial investment | Aktie | Share | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011804846