Value-at-risk of Vietnamese banks' stocks: Investigating the relationship with bank-specific characteristics
The purpose of this study is to investigate the relationship between Value at Risk (VaR) and bank-specific characteristics within the Vietnamese financial market, a rapidly growing yet risk-exposed sector. The study uses VaR as a measure of market risk and other characteristics of bank as a proxy for banks’ market power, profitability, risk, solvency, efficiency, and ownership. The study utilizes