用極值理論分析次級房貸風暴的衝擊-以全球市場為例

• Main Authors: 彭富忠, Peng, Fu Chung
• Language: 英文
• Published: 國立政治大學
• Subjects: 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
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0095258002%22.

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.