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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94915


    Title: 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
    Authors: 彭富忠
    Peng, Fu Chung
    Contributors: 林金龍
    Lin, Jin Lung
    彭富忠
    Peng, Fu Chung
    Keywords: 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
    Date: 2008
    Issue Date: 2016-05-09 13:27:21 (UTC+8)
    Abstract: 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.
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    Description: 碩士
    國立政治大學
    經濟學系
    95258002
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095258002
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

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