Article Sidebar

PDF (Tiếng Việt)
Published: 2021-07-14
Abstract Views: 754
Views PDF (Tiếng Việt): 989
DOI: https://doi.org/10.52932/jfm.vi63.170
Issue
No. 63 (2021)
Section
Research Articles
How to Cite
Nghĩa, L. T., Ngọc, N. T. B., & Trang, C. T. T. (2021). VALUE AT RISK OF REAL ESTATE STOCKS. Journal of Finance and Marketing, 63(3), 114-126. https://doi.org/10.52932/jfm.vi63.170

VALUE AT RISK OF REAL ESTATE STOCKS

Le Trong Nghia1, Nguyen Thi Bao Ngoc2, Chu Thi Thanh Trang2
1 Khanh Hoi Port Management Board
2 University of Finance – Marketing

Main Article Content

Abstract

This study measures the Value-at-Risk (VaR) for VNindex and for the top ten listed stocks in the real estate industry on HOSE. The two-standard model of measuring value at risk, VaR and CVaR are used. Data, which includes the daily closed prices of each stock, covers the period from 02/01/2017 đến 28/02/2019. The estimated resulted passed with success the Backtest. Together these results provided important insights into the risk level of Vietnam real estate industry. Basing on these findings, a portfolio of investment recommendations is suggested for future practice.

Article Details

Keywords

Stocks in the real estate, A portfolio of investment, Value at Risk, Conditional value at Risk

References

Acerbi, C., & Tasche, D. (2002). Expected Shortfall: A Natural Coherent Alternative to Value at Risk. Economic notes, 31(2), 379-388.
Alexander, S., Coleman, T. F., & Li, Y. (2006). Minimizing CVaR and VaR for a portfolio of derivatives. Journal of Banking & Finance, 30(2), 583-605.
Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228.
Chang, C., Jiménez‐Martín, J., McAleer, M., & Pérez‐Amaral, T. (2011). Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures. Managerial Finance, 1088-1106.
Choudhry, M. (2013). An introduction to value-at-risk. New York: John Wiley & Sons
Gençay, R., & Selçuk, F. (2004). Extreme value theory and Value-at-Risk: Relative performance in emerging markets. International Journal of Forecasting, 20(2), 287-303.
Kupiec, P. (1995). Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 3(2), 73–84.
Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme value theory and value at risk: application to oil market. Energy Economics, 31(4), 519-530.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
Morgan, J. P. (1996). Riskmetrics technical document.
Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of banking & finance, 26(7), 1443-1471
Yamai, Y., & Yoshiba, T. (2005). Value-at-risk versus expected shortfall: A practical perspective. Journal of Banking & Finance, 29(4), 997-1015.