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題名 用極值理論分析次級房貸風暴的衝擊-以全球市場為例
Using extreme value theory to analyze the US sub-prime mortgage crisis on the global stock market作者 彭富忠
Peng, Fu Chung貢獻者 林金龍
Lin, Jin Lung
彭富忠
Peng, Fu Chung關鍵詞 極值理論
風險值
一般柏拉圖分配
次級房貸
Extreme Value Theory
Value at Risk
Generalized Pareto Distribution
Sub-prime
Peak over Threshold日期 2008 上傳時間 9-May-2016 13:27:21 (UTC+8) 摘要 The US sub-prime mortgage crisis greatly affected not only the US economy but also other countries in the world. This thesis employs the extreme value theory and Value at Risk (VaR) analysis to assess the impact of the US sub-prime mortgage crisis on various stock markets of the MSCI indexes, including 10 countries and 7 areas. It is reasonable to guess that VaR value should increase after the crisis. The empirical analyses on these indexes conclude that (1) the American market indexes not only do not agree with the guess after the crisis but four American indexes are identical; (2) not all the Asia market indexes consist with the guess; (3) the European market indexes agree with the guess; (4) MSCI AC PACIFIC, NEW ZEALAND, and AUSTRALIA consist with the guess; (5) the behavior for the positive log returns is different from that for the negative returns in some MSCI indexes. Over speaking, the impacts of US sub-prime mortgage crisis on those countries are not the same. 參考文獻 Aconna-Navaprete, M. A. and J. A. Tawn. (2000). “A comparison of methods for estimating the extremal index”, Extremes, 3:1, 5-38.\r\nBali, T. G. and S. N. Neftci. (2003). “Disturbing extremal behavior of spot rate dynamics”, Journal of Empirical Finance, 10, 455-477.\r\nBali, T. G. (2003). “The generalized extreme value distribution”, Economics Letters 79, 423-427.\r\nBeder, T. S. (1995). “VAR: Seductive but dangerous” Financial Analysts Journal, 51, 5-12.\r\nChen, Wen-Chia. (2003). “The study of parameter estimation in extreme value distributions”, The Thesis of Master Degree, National Cheng Kung University.\r\nChou, Jian-Hsin, Hong-Fwu Yu, and Zhen-Yu Chen. (1999). “Interval estimation of Value-at-Risk for Taiwan weighted stock indexed based on extreme value theory”, Journal of the Chinese Institute of Industrial Engineers, 25, 1. 31-42.\r\nColes, S. (2001). An Introduction to Statistical Modeling of Extreme Values, London: Springer-Verlag.\r\nCotter, John (2000). “Margin exceedences for European stock index futures using extreme value theory”, Journal of Banking & Finance, 25, 1475-1502.\r\nDa Silva, André L. C. and Beatriz V. de Melo Mendes, (2003).” Value-at-risk and extreme returns in Asian stock markets”, International Journal of Business, 8, 1, 17-40.\r\nDanielsson, Jon and Casper G. de Vries. (2000). “Value-at-Risk and extreme returns”, LSE Financial Markets Group Discussion Paper, No. 273, London School of Economics.\r\nDavison, A. C. and R. L. Smith (1990). “Models for exceedance over high thresholds (with discussion), journal of Royal Statistical Society, B, 52, 393-\r\n442.\r\nDa Haan, Laurens and Ana Ferreira. (2000). Extreme Value Theory: An introduction, New York: Springer.\r\nDemyanyk, Yuliya and Otto Van Hemert. (2008). “Understanding the sub-prime mortgage crisis”, Federal Reserve Bank of St. Louis Supervisory Policy Analysis Working Paper.\r\nEmbrechts, P., S. I. Resnick, and G. Samorodnitsky. (2003). “Extreme value theory as a risk management tool”, North American actuarial J, 3, 18-36.\r\nEmbrechts, P., C. Klüppelberg, T. Mikosch. (1997). Modelling Extremal Events, New York: Springer.\r\nFinkenstädt, Bärbel and Holger Rootzén (2004). Extreme values in finance, telecommunications, and the environment, Boca Raton, Fla.: Chapman & Hall/CRC.\r\nGencay, Ramazan and F. Selcuk. (2004). “Extreme value theory and Value-at-Risk: Relative performance in emerging markets”, International Journal of Forecasting, 20, 287- 303.\r\nJalal, Amine and Michael Rockinger (2006) “Predicting tail-related risk measures: The Consequences of using GARCH filters for non GARCH data”, National Centre of Competence in Research Financial Valuation and Risk Management, Working Paper No. 340.\r\nJorion, Philippe. (2001). Value at Risk, McGraw-Hill.\r\nKhindanova, Irina. (1998). “Value At Risk”, University of California, Santa Barbara http://www.financerisks.com/filedati/WP/paper/var.pdf. \r\nKotz, S and S. Nadarajah (2000), Extreme Value Distributions: Theory and\r\nApplications, London: Imperial College Press.\r\nLauridsen, Sarah. (2000), “Estimation of Value at Risk by extreme value methods”, Extremes, 3, 2,107.\r\nLee, Tae-Hwy and Burak Saltog˘lu. (2002). “Assessing the risk forecasts for Japanese stock market”, Japan and the World Economy, 14, 63-85.\r\nLongin, F. M. (2000), “From value at risk to stress testing: The extreme value approach”, Journal of Banking & Finance, 24, 1097-1130.\r\nLyzanets, Natalya and Maksym Senchyna. (2005), “Comparing different Value-at-Risk models for hedge funds”, University of Lausanne HEC – Master of Science in Banking and Finance.\r\nMcNeil, A. J. (1999). “Extreme value theory for risk managers”, Internal\r\nModeling and CAD Ⅱ, Risk Books, 93-113.\r\nMcNeil, A. J. (1998). “Calculating quantile risk measures for financial return\r\nseries using extreme value theory”, Working Paper, Department Mathematik, ETH, Zentrum, Zurich.\r\n\r\nPickand, J. (1975). ”Statistical inference using extreme order statistics.” Annals of Statistics, 3, 119-131.\r\nRasmus, Jack. (2008). “The deepening global financial crisis: from minsky to marx and beyond”, Critique, 36, 1, 5-29.\r\nRamirez Ramirez, Elias and Pedro Alejandro Ramirez Ramirez., (2007). ” Value at Risk: econometric models versus traditional methodologies.” Analisis Economico, 22, 51, 179-98.\r\nReiss, R.D. and M. Thomas (2001) Statistical Analysis of Extreme Values\r\nwith Applications to Insurance, Finance, Hydrology and Other Fields 2nd. Siegen: Birkhauser.\r\nSmith, R. L. and A. C Davison. (1990). “Models for exceedances over high thresholds” Journal of the Royal Statistical Society. Series B (Methodological), 52, 3, 393-442.\r\nStephenson, Alec and Eric Gilleland. (2006), “Software for the analysis of extreme events: The current state and future directions”, Extremes, 8, 87-109\r\nTolikas, Konstantinos and R. A. Brown. (2006), “The distribution of the extreme daily share returns in the Athens stock exchange”, The European Journal of Finance,12, 1, 1–22.\r\nTolikas, Konstantinos, K. Athanasios, and R. A. Brown. (2007), “Extreme risk and Value-at-Risk in the German stock market”, The European Journal of Finance, 13, 4, 373-395.\r\n\r\nTsay, Ruey S. (2001), Analysis of Financial Time Series, New York: Wiley.\r\nTsung, Li-Hom. (2005). “The optimal choice of the internal model for measuring market Risk”, The 13th conference on the theories and practices of securities and financial Markets.\r\nVilasuso, J. and David Katz. (2000), “Estimates of the likelihood of extreme\r\nreturns in international stock markets”, Journal of Applied Statistics, 27, 1, 119- 130.\r\nYellen, J. L. (2008). “The financial markets, housing, and the economy”, FRBSF ECONOMIC LETTER, Number 2008-13-14, April 18, 2008.\r\nYen, Tsung Yu. (2002). “The study of optimal asset allocation of banks after asset-backed securitization and write off NPL with securitization.” The Thesis of Master Degree, National Sun Yat-sen University. 描述 碩士
國立政治大學
經濟學系
95258002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095258002 資料類型 thesis dc.contributor.advisor 林金龍 zh_TW dc.contributor.advisor Lin, Jin Lung en_US dc.contributor.author (Authors) 彭富忠 zh_TW dc.contributor.author (Authors) Peng, Fu Chung en_US dc.creator (作者) 彭富忠 zh_TW dc.creator (作者) Peng, Fu Chung en_US dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 13:27:21 (UTC+8) - dc.date.available 9-May-2016 13:27:21 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 13:27:21 (UTC+8) - dc.identifier (Other Identifiers) G0095258002 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=107051 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 95258002 zh_TW dc.description.abstract (摘要) The US sub-prime mortgage crisis greatly affected not only the US economy but also other countries in the world. This thesis employs the extreme value theory and Value at Risk (VaR) analysis to assess the impact of the US sub-prime mortgage crisis on various stock markets of the MSCI indexes, including 10 countries and 7 areas. It is reasonable to guess that VaR value should increase after the crisis. The empirical analyses on these indexes conclude that (1) the American market indexes not only do not agree with the guess after the crisis but four American indexes are identical; (2) not all the Asia market indexes consist with the guess; (3) the European market indexes agree with the guess; (4) MSCI AC PACIFIC, NEW ZEALAND, and AUSTRALIA consist with the guess; (5) the behavior for the positive log returns is different from that for the negative returns in some MSCI indexes. Over speaking, the impacts of US sub-prime mortgage crisis on those countries are not the same. en_US dc.description.tableofcontents Abstract I\r\nContents II\r\n1 Introduction and Literature Review 1\r\n1.1 Introduction 1\r\n1.2 Literature Review 4\r\n2 Methodology 6\r\n2.1 Block Maxima Model 7\r\n2.2 Fitting the Generalized Pareto Distribution 10\r\n2.2.1 Generalized Pareto Distribution 10\r\n2.2.2 Model checking 15\r\n3 Data and Empirical Results 17\r\n3.1 Data 17\r\n3.2 Empirical Results 19\r\n3.2.1 MSCI USA 19\r\n3.2.2 MSCI CANADA 20\r\n3.2.3 MSCI UK 20\r\n3.2.4 MSCI TAIWAN 21\r\n3.2.5 MSCI KOREA 21\r\n3.2.6 MSCI SINGAPORE 21\r\n3.2.7 MSCI JAPAN 22\r\n3.2.8 MSCI CHINA 22\r\n3.2.9 MSCI NEW ZEALAND 22\r\n3.2.10 MSCI AUSTRALIA 23\r\n3.2.11 MSCI AC AMERICAS 23\r\n3.2.12 MSCI NORTH AMERICA 24\r\n3.2.13 MSCI AC ASIA 24\r\n3.2.14 MSCI AC PACIFIC 25\r\n3.2.15 MSCI AC EUROPE 25\r\n3.2.16 MSCI EUROPE 25\r\n3.2.17 MSCI WORLD 26\r\n3.3 Summary of empirical finding 26\r\n4 Conclusions and Suggestions 28\r\n4.1 Conclusions 28\r\n4.2 Suggestions 29\r\nReference 72\r\nAPPENDIX A MSCI Index of Country Memberships 77 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095258002 en_US dc.subject (關鍵詞) 極值理論 zh_TW dc.subject (關鍵詞) 風險值 zh_TW dc.subject (關鍵詞) 一般柏拉圖分配 zh_TW dc.subject (關鍵詞) 次級房貸 zh_TW dc.subject (關鍵詞) Extreme Value Theory en_US dc.subject (關鍵詞) Value at Risk en_US dc.subject (關鍵詞) Generalized Pareto Distribution en_US dc.subject (關鍵詞) Sub-prime en_US dc.subject (關鍵詞) Peak over Threshold en_US dc.title (題名) 用極值理論分析次級房貸風暴的衝擊-以全球市場為例 zh_TW dc.title (題名) Using extreme value theory to analyze the US sub-prime mortgage crisis on the global stock market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aconna-Navaprete, M. A. and J. A. Tawn. (2000). “A comparison of methods for estimating the extremal index”, Extremes, 3:1, 5-38.\r\nBali, T. G. and S. N. Neftci. (2003). “Disturbing extremal behavior of spot rate dynamics”, Journal of Empirical Finance, 10, 455-477.\r\nBali, T. G. (2003). “The generalized extreme value distribution”, Economics Letters 79, 423-427.\r\nBeder, T. S. (1995). “VAR: Seductive but dangerous” Financial Analysts Journal, 51, 5-12.\r\nChen, Wen-Chia. (2003). “The study of parameter estimation in extreme value distributions”, The Thesis of Master Degree, National Cheng Kung University.\r\nChou, Jian-Hsin, Hong-Fwu Yu, and Zhen-Yu Chen. (1999). “Interval estimation of Value-at-Risk for Taiwan weighted stock indexed based on extreme value theory”, Journal of the Chinese Institute of Industrial Engineers, 25, 1. 31-42.\r\nColes, S. (2001). An Introduction to Statistical Modeling of Extreme Values, London: Springer-Verlag.\r\nCotter, John (2000). “Margin exceedences for European stock index futures using extreme value theory”, Journal of Banking & Finance, 25, 1475-1502.\r\nDa Silva, André L. C. and Beatriz V. de Melo Mendes, (2003).” Value-at-risk and extreme returns in Asian stock markets”, International Journal of Business, 8, 1, 17-40.\r\nDanielsson, Jon and Casper G. de Vries. (2000). “Value-at-Risk and extreme returns”, LSE Financial Markets Group Discussion Paper, No. 273, London School of Economics.\r\nDavison, A. C. and R. L. Smith (1990). “Models for exceedance over high thresholds (with discussion), journal of Royal Statistical Society, B, 52, 393-\r\n442.\r\nDa Haan, Laurens and Ana Ferreira. (2000). Extreme Value Theory: An introduction, New York: Springer.\r\nDemyanyk, Yuliya and Otto Van Hemert. (2008). “Understanding the sub-prime mortgage crisis”, Federal Reserve Bank of St. Louis Supervisory Policy Analysis Working Paper.\r\nEmbrechts, P., S. I. Resnick, and G. Samorodnitsky. (2003). “Extreme value theory as a risk management tool”, North American actuarial J, 3, 18-36.\r\nEmbrechts, P., C. Klüppelberg, T. Mikosch. (1997). Modelling Extremal Events, New York: Springer.\r\nFinkenstädt, Bärbel and Holger Rootzén (2004). Extreme values in finance, telecommunications, and the environment, Boca Raton, Fla.: Chapman & Hall/CRC.\r\nGencay, Ramazan and F. Selcuk. (2004). “Extreme value theory and Value-at-Risk: Relative performance in emerging markets”, International Journal of Forecasting, 20, 287- 303.\r\nJalal, Amine and Michael Rockinger (2006) “Predicting tail-related risk measures: The Consequences of using GARCH filters for non GARCH data”, National Centre of Competence in Research Financial Valuation and Risk Management, Working Paper No. 340.\r\nJorion, Philippe. (2001). Value at Risk, McGraw-Hill.\r\nKhindanova, Irina. (1998). “Value At Risk”, University of California, Santa Barbara http://www.financerisks.com/filedati/WP/paper/var.pdf. \r\nKotz, S and S. Nadarajah (2000), Extreme Value Distributions: Theory and\r\nApplications, London: Imperial College Press.\r\nLauridsen, Sarah. (2000), “Estimation of Value at Risk by extreme value methods”, Extremes, 3, 2,107.\r\nLee, Tae-Hwy and Burak Saltog˘lu. (2002). “Assessing the risk forecasts for Japanese stock market”, Japan and the World Economy, 14, 63-85.\r\nLongin, F. M. (2000), “From value at risk to stress testing: The extreme value approach”, Journal of Banking & Finance, 24, 1097-1130.\r\nLyzanets, Natalya and Maksym Senchyna. (2005), “Comparing different Value-at-Risk models for hedge funds”, University of Lausanne HEC – Master of Science in Banking and Finance.\r\nMcNeil, A. J. (1999). “Extreme value theory for risk managers”, Internal\r\nModeling and CAD Ⅱ, Risk Books, 93-113.\r\nMcNeil, A. J. (1998). “Calculating quantile risk measures for financial return\r\nseries using extreme value theory”, Working Paper, Department Mathematik, ETH, Zentrum, Zurich.\r\n\r\nPickand, J. (1975). ”Statistical inference using extreme order statistics.” Annals of Statistics, 3, 119-131.\r\nRasmus, Jack. (2008). “The deepening global financial crisis: from minsky to marx and beyond”, Critique, 36, 1, 5-29.\r\nRamirez Ramirez, Elias and Pedro Alejandro Ramirez Ramirez., (2007). ” Value at Risk: econometric models versus traditional methodologies.” Analisis Economico, 22, 51, 179-98.\r\nReiss, R.D. and M. Thomas (2001) Statistical Analysis of Extreme Values\r\nwith Applications to Insurance, Finance, Hydrology and Other Fields 2nd. Siegen: Birkhauser.\r\nSmith, R. L. and A. C Davison. (1990). “Models for exceedances over high thresholds” Journal of the Royal Statistical Society. Series B (Methodological), 52, 3, 393-442.\r\nStephenson, Alec and Eric Gilleland. (2006), “Software for the analysis of extreme events: The current state and future directions”, Extremes, 8, 87-109\r\nTolikas, Konstantinos and R. A. Brown. (2006), “The distribution of the extreme daily share returns in the Athens stock exchange”, The European Journal of Finance,12, 1, 1–22.\r\nTolikas, Konstantinos, K. Athanasios, and R. A. Brown. (2007), “Extreme risk and Value-at-Risk in the German stock market”, The European Journal of Finance, 13, 4, 373-395.\r\n\r\nTsay, Ruey S. (2001), Analysis of Financial Time Series, New York: Wiley.\r\nTsung, Li-Hom. (2005). “The optimal choice of the internal model for measuring market Risk”, The 13th conference on the theories and practices of securities and financial Markets.\r\nVilasuso, J. and David Katz. (2000), “Estimates of the likelihood of extreme\r\nreturns in international stock markets”, Journal of Applied Statistics, 27, 1, 119- 130.\r\nYellen, J. L. (2008). “The financial markets, housing, and the economy”, FRBSF ECONOMIC LETTER, Number 2008-13-14, April 18, 2008.\r\nYen, Tsung Yu. (2002). “The study of optimal asset allocation of banks after asset-backed securitization and write off NPL with securitization.” The Thesis of Master Degree, National Sun Yat-sen University. zh_TW
