New Southbound Enterprise Studies on Liquidity-Adjusted VaR, Back-testing and Stress-testing: Evidence from Vietnam
| Autor: | Chen, Hsiang-Yu, 陳相伃 |
|---|---|
| Rok vydání: | 2019 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 107 This study uses “Liquidity-adjusted VaR” (LVaR) to investigate risk for 48 Taiwanese business who invest in Vietnam, and then build back-testing and stress-testing to check the model efficient. The empirical results are as follows: (1) The "back-testing" tests show that the empirical results of LVaR are better than traditional VaR, the loss amount of investment is more consistent with expected loss. (2) The empirical results of the “stress-testing” show that the “traditional risk value” is significantly affected by the “internal general manager” and the “general turnover number of manager within 3 years”, but the “liquidity adjustment risk value” is not affected by corporate governance variables. (3) The highest amount of both risk values is “ECLAT”, the lowest of traditional VaR and LVaR are “EVERTOP” and “LUCKY CEMENT” respectively. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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