Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/234440
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dc.titleEXTREME RISKS OF INTERNATIONAL SECURITIZED REAL ESTATE MARKETS
dc.contributor.authorLIM MINGSHENG MARK
dc.date.accessioned2022-11-11T10:19:07Z
dc.date.available2022-11-11T10:19:07Z
dc.date.issued2007
dc.identifier.citationLIM MINGSHENG MARK (2007). EXTREME RISKS OF INTERNATIONAL SECURITIZED REAL ESTATE MARKETS. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/234440
dc.description.abstractIn this study, the effectiveness of using the normal distribution in the estimation of Value at Risk (VaR) to measure the risks of returns is investigated. Also, a combination of Value at Risk estimated by Extreme Value Theory is used to model the extreme risks and is evaluated alongside the traditional proxy for risk, the standard deviation before, during and after the Asian Financial Crisis. It is found that although RiskMetrics which assumes normality provide an easy way to compute VaR, it severely underestimates extreme risks. On the other hand, the maxima and minima of returns series are satisfactorily modeled using a combination of the extreme value theory and the value at risk measure. The parameters of the VaRs estimated by the Extreme Value Theory showed that the Frechet and Weibull type distributions are better able to model the returns of the financial returns. Furthermore, a longer holding period is found to increase the investor's exposure to extreme events. Lastly, the securitized real estate and common stock markets in Asia exhibit the largest propensity for experiencing crash and booms as the magnitude of extreme gains and losses are higher than other regions. Thus, for risk adverse investors, European and North American countries would prove to be a more attractive option
dc.sourceSDE BATCHLOAD 20220718
dc.subjectValue at Risk
dc.subjectExtreme Value Theory
dc.subjectProbability Weighted Moments
dc.subjectBlock Maxima
dc.subjectExtremal Index
dc.typeThesis
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorLIOW KIM HIANG
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
Appears in Collections:Bachelor's Theses

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