Estimation of the market risk exposure of Vietnamese banks’ portfolios using VaR approach
This paper analyses the effectiveness of different methods to estimate Value-at-Risk (VaR) of VN-index, proxy of a Vietnamese bank’s portfolio. Both parametric and non-parametric approaches are employed to estimate daily VaRs for two sets of data, one of those sets is 8 months behind the other. We find that non-parametric methods are more reliable than parametric methods when employed to estimate