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A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications.

The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for economic development by the Vietnam Government through to 2020. The oil and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is from 2009 to 2017, which is decomposed into two distinct sub-periods after the Global Financial Crisis (GFC), namely the immediate post-GFC (2009&ndash ; 2011) period and the normal (2012&ndash ; 2017) period, in order to identify the behavior of market risk for Vietnam&rsquo ; s major industries. For the stock market in Vietnam, the website used in this paper provided complete and detailed data for each stock, as classified by industry. Two widely used approaches to measure and analyze risk are used in the empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy and Pharmaceuticals are the least risky industries, whereas oil and gas and securities have the greatest risk. In general, there is strong empirical evidence that the four key industries display relatively low risk. For public policy, the Vietnam Government&rsquo ; s proactive emphasis on the targeted industries, including energy, to achieve sustainable economic growth and national economic development, seems to be working effectively. This paper presents striking empirical evidence that Vietnam&rsquo ; s industries have substantially improved their economic performance over the full sample, moving from relatively higher levels of market risk in the immediate post-GFC period to a lower risk environment in a normal period several years after the end of the calamitous GFC.

AbstractWe adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption‐smoothing behavior. As income increases, or as the consumption‐to‐income ratio falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.