In this paper we set out a framework that will help Vietnamese companies to enhance their interest rate risk management practices. We start by analysing time series of Vietnamese Treasury bill rates. Using the maximum likelihood method we calibrate to these data seven models of interest rate dynamics: Vasicek (1977), Cox, Ingersoll and Ross (1985), Chan, Karolyi, Longstaff and Sanders (1992), Ahn and Gao (1999), Ait-Sahalia (1996), two factor version of Cox, Ingersoll and Ross (1985), and AR(1)-GARCH(1,1). Then using calibrated model parameters we calculate risk measures such as Value at Risk or Expected Shortfall and project the interest rates over three months. Finally we study the resulting risk measures as well as distributions of interest rates generated by each model and provide guidance regarding suitability of these models for risk management purposes.

In oil-exporting countries such as members of the OPEC, fluctuations in oil prices exert a significant impact on the domestic economy. Currently, a sharp reduction in oil prices results in several adverse effects; however, for such a crude-oil exporter that is also an importer of petroleum products as Vietnam, does a rise or drop in oil prices is beneficial to its development? This paper attempts to determine the oil price threshold while analyzing oil price effects on several macro factors, such as inflation, GDP growth, budget deficit, and unemployment rate over the 2000-2015 period. Using TVAR model, we detect an oil price threshold of USD27.6/barrel. Moreover, an increase in the price of oil, which exceeds this threshold, will cause a rise in inflation, budget deficit, and unemployment rate. Still, there is no significant evidence of the impact of oil prices on GDP growth.