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| Title: | 以關聯結構條件風險值模型解構臺灣證券市場系統風險
Application of copula CoVaR models in systemic risk of Taiwan security market |
| Authors: | 陳紹傑
Chen, Shao Jie |
| Contributors: | 徐士勛
陳紹傑
Chen, Shao Jie |
| Keywords: | 關聯結構
條件風險值
系統風險
Copula
CoVaR
Systemic risk |
| Date: | 2017 |
| Issue Date: | 2017-07-11 12:07:16 (UTC+8) |
| Abstract: | 本研究以關連結構模型分析 2007 年金融海嘯前後臺灣證券市場與國際主要市場之關係,進而由條件風險值估算當其他市場面臨風險事件下,臺灣證券市場所面臨之潛在系統風險。實證結果顯示,各市場條件風險值估值均低於臺灣證券市場自身在險值水準,顯示如由在險值衡量該風險仍有未盡妥善之處,反應條件風險值與國際市場資訊對於臺灣市場之系統風險衡量有相當之價值。此外,我們亦得以檢視臺灣證券市場是否受不同市場之系統風險影響,結果指出金融海嘯後各市場影響漸趨一致。
In this paper, we first apply copula model to capture the relationship be-tween Taiwan securities market and major international markets across the financial tsunami in 2007. The systemic risk for Taiwan’s securities market is then measured by CoVaR while other markets facing risk events. The main results show that the CoVaR of each market is lower than the VaR of Taiwan securities market, which means there is still room for improvement in the measurement of systemic risk by VaR. They point out that CoVaR and the information of international market are valuable in measuring the systemic risk of Taiwan securities market. Moreover, we can also check the systemic impact of major international markets on Taiwan securities mar-ket. The results indicate that the impact of others market on Taiwan tend to be identical after the financial tsunami. |
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| Description: | 碩士
國立政治大學
經濟學系
104258036 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104258036 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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