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Risk analysis of energy in Vietnam


  • Duc Hong Vo

    (Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.)

  • Ngoc Phu Tran

    (Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.)

  • Tam Nguyen-Thanh Duong

    (Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.)

  • Michael McAleer

    ( Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.)


The purpose of the paper is to estimate market risk for the ten major industries in Vietnam. The focus 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. Oil and Gas is a separate energy-related major industry. 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 (2009-2011) period and the normal (2012-2017) period, in order to identify the behaviour of market risk for Vietnam major industries. 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’s pro-active emphasis on the targeted industries, including Energy, to achieve sustainable economic growth and national economic development, seems to be working effectively.

Suggested Citation

  • Duc Hong Vo & Ngoc Phu Tran & Tam Nguyen-Thanh Duong & Michael McAleer, 2019. "Risk analysis of energy in Vietnam," Documentos de Trabajo del ICAE 2019-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Handle: RePEc:ucm:doicae:1914

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    References listed on IDEAS

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    More about this item


    Market risk; Energy; Industries; Value-at-Risk; Conditional Value-at-Risk; Sustainable growth; Economic development; Vietnam.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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