外汇极值行为之研究.pdf

Review of Financial Risk Management 31 96 31-58 A Study on the Behavior of Extreme Value for Foreign Exchange Rate C hu-hsiung L in Y un-yi Wang Professor, Department of Risk Management and Ph.D. Candidate, Graduate Institute of Finance, Insurance, National Kaohsiung First University of National Central University Science and Technology Ya-L ing Wang R ichard L . Wang Department of Finance, National Kaohsiung First Ph.D. Candidate, College of Management, National University of Science and Technology Kaohsiung First University of Science and Technology H sien-Ming C hen College of Management, National Kaohsiung First University of Science and Technology 1992 2002 5 () 1.Frechet (Fisher and Tippett (1928)) 2. 3. Hill VaR-x J E L F31, C14, C53 * ** TEL: 886-07-6011000#4015, 1400 E-mail: chusiung@ccms.nkfust.edu.tw 32 96 6 Abstract The role of extreme value has several important applications in risk management, such as Value-at- Risk, margin level, the estimate of volatility, and capital requirement. This paper uses extreme value theory in estimating unconditional and conditional tail index of five exchange rate returns. We explore three questions concerning exchange rate returns: the amount of tail-fatness, the structural change of tail index and the effects of time aggregation. The sample