- 學位論文
次級房貸風暴後股匯市風險值的衡量
Measuring the Value-at-Risk of Major Stock and Exchange Markets upon Subprime Mortgage Storm
摘要
過去兩年來，美國次級房貸的風暴橫掃全球金融體系，使得整個房屋產業經歷巨大災劫，舉凡貸款人違約還款、股市狂瀉、多家經營大型房貸銀行面臨倒閉與裁員，蝴蝶效應至今未休，因此引發本文想去探究次級房貸風暴後的風險值(Value-at-Risk)評估，以期盼各家公司與投資人企業能有更佳的風險管理。 本研究採取五項風險值方法來評估次級房貸風暴，分別為歷史模擬法、拔靴法、蒙地卡羅模擬法、GARCH法與EGARCH法，研究上著眼於全球金融體系，故本篇論文採用市場上十二項主要股票指數與十四項專門匯率指標，並經由綜合性分析得出次級房貸風暴期間較為配適良好的風險值結果。 本篇研究發現GARCH法與EGARCH法 在股票市場上優於其他三種風險值模擬方法，但是，在匯率市場上，EGARCH法卻無法得出較為配適的結果，這表示在匯率市場上，市場上不對稱訊息的傳遞(好消息與壞消息)並沒有顯著的差異，然而本篇研究異質變異有探究的必要性，因此對於後續的研究，因為考量到次級房貸風暴影響範圍太過龐大，故對於厚尾的模擬評估，可以採取極值理論與其他型態的GARCH法，並且可以加入多面向的金融指標以進行研究。
並列摘要
Owing to subprime mortgage storm prevailed all over the world for the past two years, the housing industry experienced enormous disaster, such as fund foreclosure, stock deprecation, bank bankruptcy, and layoff. This dramatic accident motivates this study examine the Value-at-Risk (VaR) of subprime mortgage around the world. This work attempts to use VaR to measure subprime mortgage storm based on the approaches proposed by the five approaches: Historical Simulation, Bootstrap, Monte Carlo Simulation, GARCH, and EGARCH methods. This investigation targets at twelve stock indices and fourteen currencies using five different simulation approaches to find the optimum VaR value over the subprime mortgage loan disaster period. This study finds that GARCH and EGARCH model have better VaRs than the other methods in the stock market. However, EGARCH model doesn’t have significant result in the exchange rate market as there is not significant asymmetric in the exchange rate market. This work suggests that the further researches should use Extreme Value Theorem (EVT) and/or other types of GARCH test to examine the VaR, and include additional financial parameters.