Vietnamese banking system has been playing a vital role in the development and economic growth since the economic renewal campaign namely “Doi Moi” in 1986. However, since the global financial crisis, financial and banking system has been under stress, exposing much weaknesses, severely...

Vietnamese banking system has been playing a vital role in the development and economic growth since the economic renewal campaign namely “Doi Moi” in 1986. However, since the global financial crisis, financial and banking system has been under stress, exposing much weaknesses, severely...

Vietnamese banking system has been playing a vital role in the development and economic growth since the economic renewal campaign namely “Doi Moi” in 1986. However, since the global financial crisis, financial and banking system has been under stress, exposing much weaknesses, severely...

I explore the benefits of incorporating conditional higher moments in the international portfolio allocation. The quantile-based conditional higher moments are robust to the outliers and exhibit considerable time-variation and heterogeneity across countries. My empirical evidence shows that...

We provide the first study on systemic risk of banking sector in the ASEAN-6 countries. In particular, we investigate the systemic risk dynamics and determinants of 49 listed banks in the region using the SRISK measure of Brownlees and Engle (2017) over the 2000-18 period. We document...

We investigate how to best model skewness for portfolio choice decisions. To this end, we compare the predictive ability and portfolio performance of several prominent skewness models in a sample of ten international equity market indices. Overall, models that employ information from the option...

Purpose The authors investigate the impacts of international capital inflows on bank lending in the Association of Southeast Asian Nations-6 (ASEAN-6) countries on the dynamics of both bank loan volumes and credit risk-taking. The authors further explore the heterogenous impacts of different...