用極值理論分析次級房貸風暴的衝擊-以全球市場為例

用極值理論分析次級房貸風暴的衝擊-以全球市場為例

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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, includ...

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Bibliographic Details
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.

Internet

http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0095258002%22.

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