Giá trị rủi ro cổ phiếu bất động sản.pdf

ISS N: 859- 3690 T H GH T S ng H H-M m 2021 JOURNAL OF FINANCE - MARKETING T G ISS N: 859- 3690 T H GH T S ng H H-M m 2021 JOURNAL OF FINANCE - MARKETING T G N i=1 -2.5% VaR 99% -2.1% -1.7% -2.4% -2.0% -1.6% VaR 97.5% VaR 95% -4.2% -3.5% -4.4% -4.3% -4.8% -6.0% -6.7% -4.3% -5.0% -5.6% -6.1% -3.3% HDG -3.6% FLC DXG -5.1% DIG -4.2% -3.9% -2.7% -3.8% -2.6% -3.9% -7.1% -4.1% -5.6% -4.2% -5.8% -4.3% -5.0% -4.6% VIC NVL NLG -3.3% -3.3% Portfolio NTL -2.8% -3.1% -6.7% -6.4% -2.5% -3.4% -1.5% VNIndex PDR -2.9% -3.5% -4.6% -1.9% -2.3% -3.8% -7.1% -7.2% -6.9% KDH -2.7% -4.6% -6.4% -7.1% NLG -4.2% VaR 99% VaR 97.5% VaR 95% -7.2% -7.1% NTL -3.0% -3.4% -3.9% -5.1% NVL -2.9% -3.6% -4.0% PDR -3.0% -3.4% Portfolio VIC -2.9% -3.6% -4.1% VNIndex -2.2% KDH HDG FLC DXG DIG VaR 99% -2.5% -2.1% -1.7% -2.38% -1.99% -1.61% -4.2% VaR 97.5% -3.5% -4.4% VaR 95% -3.6% -4.1% -4.3% -4.9% -4.0% -5.1% -6.0% -6.8% -4.3% -5.0% -5.6% -6.2% PDR -3.0% NVL -2.9% NTL -3.0% NLG -3.3% -4.0% -3.3% KDH -2.7% HDG -3.6% FLC -4.2% DXG -4.7% -5.2% DIG -4.3% Xk n = CVaR + = CVaR 99% CVaR 97.5% CVaR 95% -4.5% -5.6% -6.9% -5.5% -6.2% -7.0% -6.7% -5.7% -6.2% -6.0% -4.6% X k n + p X k +1 n − X k n VNIndex Portfolio NVL -3.7% NTL NLG -4.5% -5.0% -5.7% -6.5% -7.2% -6.9% -7.2% -4.4% -2.6% −Xk n PDR -4.1% -5.7% -2.9% X 1n + X n + + X kn k VIC -4.3% -5.5% -7.2% -3.3% -4.3% -5.4% -7.2% -7.2% -3.5% -4.4% -7.3% Portfolio VIC -2.9% -3.4% -3.6% VNIndex -3.8% KDH HDG FLC DXG DIG x T x p= T H0 p = p = H1 p p 1− p x 1− T T −x T −x px x T x & & &