The Portfolio Value at Risk of Emergency Market before and after Subprime Mortgage Crisis- Evidence from Latin America Funds

• Main Authors: Shu-Min Chen, 陳淑敏
• Other Authors: Cheng-Te Hsiao
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/83968715613415242755

碩士 === 銘傳大學 === 經濟學系碩士在職專班 === 98 === The article discuss the portfolio Value at Risk of emergency market before and after subprime mortgage crisis. In empirical study, the data period contains June 1,2006 to May 31,2009. We apply COV-VAR and Extreme value model to calculate the VaR during this periods. Finally, we compare the performance according to the back testing. Empirical results show that :1. The VaR of COV-VAR increase after crisis 2. The VaR of extreme value model is higher than VAR-COV model no matter before or after subprime mortgage. 3.According to the results of back testing, the VAR-COV model is better than extreme value model before subprime mortgage, whereas extreme value model can outperform than VAR-COV method after crisis.