Risk Measurement of Portfolios on Stock and Foreign Exchange Markets: A Copula Approach
Abstract
In this paper, we propose a method for risk measurement of a portfolio containing indexes on Vietnam stock and foreign exchange markets. Specifically, copula method is applied to estimate the Value at Risk (VaR) and the Conditional Value at Risk (CVaR) of some optimal portfolios consisting Vietnam stock index VNINDEX and exchange rates, which are exchanged frequently in Vietnam. The results show that, in Vietnam, when one invests on both these markets, risk on stock market is higher than on foreign exchange. Therefore, in order to reduce the risk, one may probably invest on stock market with a lower proportion than on foreign exchange market. Moreover, one may choose strong foreign currency such as USD, GBP, CNY, EUR,… or currency of ASEAN countries to make the risk of porfolios be low.
Keywords
Full Text:
PDFRefbacks
- There are currently no refbacks.
Disclaimer/Regarding indexing issue:
We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.