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Value-at-risk of Vietnamese banks' stocks: Investigating the relationship with bank-specific characteristics

Nguyen, Hong Kim Yen LU and Hoang, Thi Thu Hang LU (2023) NEKN02 20231
Department of Economics
Abstract
The purpose of this study is to investigate the relationship between Value at Risk (VaR) and bank-specific characteristics within the Vietnamese financial market, a rapidly growing yet risk-exposed sector. The study uses VaR as a measure of market risk and other characteristics of bank as a proxy for banks’ market power, profitability, risk, solvency, efficiency, and ownership. The study utilizes a sample of Vietnamese banks listed on Ho Chi Minh Stock Exchange from 2013 to 2022 to understand how VaR depends on these characteristics. Both descriptive and inferential statistics will be employed to analyze the data. Preliminary results indicate a significant relationship between bank size, profitability (measured through interest rate... (More)
The purpose of this study is to investigate the relationship between Value at Risk (VaR) and bank-specific characteristics within the Vietnamese financial market, a rapidly growing yet risk-exposed sector. The study uses VaR as a measure of market risk and other characteristics of bank as a proxy for banks’ market power, profitability, risk, solvency, efficiency, and ownership. The study utilizes a sample of Vietnamese banks listed on Ho Chi Minh Stock Exchange from 2013 to 2022 to understand how VaR depends on these characteristics. Both descriptive and inferential statistics will be employed to analyze the data. Preliminary results indicate a significant relationship between bank size, profitability (measured through interest rate spread), and stock VaR. The results of this study will provide insights into the market risk of banks stocks in emerging markets and help investors make informed decisions. (Less)
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author
Nguyen, Hong Kim Yen LU and Hoang, Thi Thu Hang LU
supervisor
organization
course
NEKN02 20231
year
type
H1 - Master's Degree (One Year)
subject
keywords
Vietnamese financial market, Value-at-Risk (VaR), bank characteristics, risk management, market risk exposure
language
English
id
9119296
date added to LUP
2023-11-24 08:57:10
date last changed
2023-11-24 08:57:10
@misc{9119296,
  abstract     = {{The purpose of this study is to investigate the relationship between Value at Risk (VaR) and bank-specific characteristics within the Vietnamese financial market, a rapidly growing yet risk-exposed sector. The study uses VaR as a measure of market risk and other characteristics of bank as a proxy for banks’ market power, profitability, risk, solvency, efficiency, and ownership. The study utilizes a sample of Vietnamese banks listed on Ho Chi Minh Stock Exchange from 2013 to 2022 to understand how VaR depends on these characteristics. Both descriptive and inferential statistics will be employed to analyze the data. Preliminary results indicate a significant relationship between bank size, profitability (measured through interest rate spread), and stock VaR. The results of this study will provide insights into the market risk of banks stocks in emerging markets and help investors make informed decisions.}},
  author       = {{Nguyen, Hong Kim Yen and Hoang, Thi Thu Hang}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Value-at-risk of Vietnamese banks' stocks: Investigating the relationship with bank-specific characteristics}},
  year         = {{2023}},
}