Title
Sectoral Risks in Vietnam and Malaysia A Comparative Analysis
Authors
Abstract
This paper measures and ranks market risk for 10 industries/sectors in Vietnam and(i) Global Financial Crisis (GFC) (2007-2009); and (ii) post-GFC (2010-2017). Market risk
is measured using Value-at-Risk (VaR), that is, the potential losses in the future over a
given time period (day or month) at a given confidence level; and Conditional Value-atRisk (CVaR), that is, the risk of extreme loss. Both parametric and historical approaches
are used. Empirical findings confirm that Vietnam sectors are relatively riskier than their
counterparts in Malaysia, and that the market risk across sectors in both countries has been
reduced substantially in the post-GFC period. The Financials sector, which includes Banks,
Diversified Financials, and Insurance, has been largely ignored in the Vietnam
Government’s focus. This particular industry is considered relatively risky in Vietnam,
whereas it is ranked as a very safe sector in Malaysia. With the ambition to be a financial
hub in the Asia-Pacific regional integration, a shift in attention to this important sector in
Vietnam is the near future is strongly recommended.
Keywords
Market risk, sectors, VaR, CVaR, Vietnam, Malaysia.
Classification-JEL
G01, G21, G22, G32
Pages
62-87