| dc.contributor.advisor | 毛維凌 | zh_TW |
| dc.contributor.author (Authors) | 劉宜芳 | zh_TW |
| dc.creator (作者) | 劉宜芳 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 16:06:11 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 16:06:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 16:06:11 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0932580061 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35811 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 93258006 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | This paper links two applications of Extreme Value Theory (EVT) to analyze Taiwanese financial markets: 1. computation of Value at Risk (VaR) and Expected Shortfall (ES) 2. estimates of cross-market dependence under extreme events. Daily data from the Taiwan Stock Exchange Capitalization Weight Stock Index (TAIEX) and the foreign exchange rate, USD/NTD, are employed to analyze the behavior of each return and the dependence structure between the foreign exchange market and the equity market. In the univariate case, when computing risk measures, EVT provides us a more accurate way to estimate VaR. In bivariate case, when measuring extremal dependence, the results of whole period data show the extremal dependence between two markets is asymptotically independent, and the analyses of subperiods illustrate that the relation is slightly dependent in specific periods. Therefore, there is no significant evidence that extreme events appeared in one market (the equity market or the foreign exchange market) will affect another in Taiwan. | zh_TW |
| dc.description.tableofcontents | 1 Introduction2 Risk Measure 2.1 Value-at-Risk (VaR) 2.2 Expected Shortfall (ES)3 Extreme Value Theory 3.1 Distribution of Maxima 3.2 Block Maxima Model 3.3 Peak over Threshold (POT)Model 3.3.1 Generalized Pareto Distribution Approach4 Measuring Extremal Dependence 4.1 Extremal Dependence Measure 4.2 An Alternative Measure of Dependence 4.3 Estimation for Dependence Measure5 Empricial Analysis 5.1 Description of the Data and the Statistical Testing 5.2 Choosing the Threshold 5.2.1 Mean Excess Plot 5.2.2 Shape Parameter Plot 5.3 Generalized Pareto Distribution Fit 5.4 Estimation of the Tails 5.5 Extremal Dependence 5.5.1 Whole Period Analysis 5.5.2 Subperiod Analysis6 ConclusionReferencesAppendiex | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0932580061 | en_US |
| dc.subject (關鍵詞) | 極端值理論 | zh_TW |
| dc.subject (關鍵詞) | 極值相依度 | zh_TW |
| dc.subject (關鍵詞) | 預期損失 | zh_TW |
| dc.subject (關鍵詞) | 風險值 | zh_TW |
| dc.subject (關鍵詞) | Extreme Value Theory | en_US |
| dc.subject (關鍵詞) | Extremal Dependence | en_US |
| dc.subject (關鍵詞) | Expected Shortfall | en_US |
| dc.subject (關鍵詞) | Value at Risk | en_US |
| dc.title (題名) | 金融風險測度與極值相依之應用─以台灣金融市場為例 | zh_TW |
| dc.title (題名) | Measuring financial risk and extremal dependence between financial markets in Taiwan | en_US |
| dc.type (資料類型) | thesis | en |
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