Estimating Portfolio’s Value-at-Risk and Conditional Value-at-Risk: Evidence of Laos Securities Exchange

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บทความที่ 10
Published: Jan 9, 2024
Updated: 2024-01-09
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2024-01-09 (2)
DOI: https://doi.org/10.14456/jmsnpru.2023.31
Keywords:
Value-at-Risk Conditional Value-at-Risk Gaussian Distribution

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HER Pheng
Finance and Accounting Department Faculty of Economics and Tourism, Souphanouvong University, Luangprabang, Lao PDR

Abstract

        This paper, researcher used daily closed price from Lao Securities Exchange during October 11, 2019 to May 27, 2021 (exclude public holidays), equal to 402 days and estimating of portfolio’s risk researcher by Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) models in the aspects of Historical Simulation and Gaussian methods with the confidence interval of 95%, 97.5% and 99% respectively. 
       Result in historical simulation method expressed that VaR of Phousy Construction and Development Public Company (PCD) has highest value and Lao Cement Public Company (LCC) has lowest value. For CVaR function found that PCD remain the company that has highest value and Mahathuen Leasing Public Company (MHTL) has lowest value (95% confidence). For Gaussian Distribution method found that VaR of PCD remain the company that has highest risk and MHTL has lowest and in aspects of CVaR found that PCD and MHTL remains the companies that has highest and lowest value and researcher concluded that CVaR is better than VaR because CVaR gives us an average expected loss while VaR gives us a range of potential losses or it less accurate lower approximation of risk. For comparison of the portfolio of 11 traded stocks in LSX indicated that portfolio’s VaR and CVaR in Gaussian Distribution method is lower than Historical Simulation method and specified Gaussian Distribution analysis is a better risk indicator because it is closer to the actual value
 
Article history: Received 8 August 2023              
                            Revised 10 October 2023
                            Accepted 14 October 2023      
                            SIMILARITY INDEX = 9.00%

Article Details

How to Cite
Pheng, H. (2024). Estimating Portfolio’s Value-at-Risk and Conditional Value-at-Risk: Evidence of Laos Securities Exchange. Journal of Management Science Nakhon Pathom Rajabhat University, 10(2), 118–128. https://doi.org/10.14456/jmsnpru.2023.31 (Original work published December 30, 2023)
Issue
Vol. 10 No. 2 (2023): July - December 2023
Section
Research Articles
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