Ngoc Mai Tran
Dr. Ngoc Mai Tran is currently the Head of Department at Banking Academy of Vietnam. She received her MSc and PhD in Finance at University of Birmingham, United Kingdom. Her research interests include corporate finance, volatility forecasting and international financial markets.
The authors investigate the forecasting ability of bank VaR estimates around the 2007-9 financial crisis using daily data from seven international banks, finding systemic overstating of VaR either side of the financial crisis and mixed performance during…