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    题名: 金融風險測度與極值相依之應用─以台灣金融市場為例
    Measuring financial risk and extremal dependence between financial markets in Taiwan
    作者: 劉宜芳
    贡献者: 毛維凌
    劉宜芳
    关键词: 極端值理論
    極值相依度
    預期損失
    風險值
    Extreme Value Theory
    Extremal Dependence
    Expected Shortfall
    Value at Risk
    日期: 2006
    上传时间: 2009-09-18 16:06:11 (UTC+8)
    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.
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    描述: 碩士
    國立政治大學
    經濟研究所
    93258006
    95
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