Does Asian credit default swap index improve portfolio performance?
© Springer International Publishing AG 2016. This study aims to find whether adding Asian Credit Default Swap (CDS) index will improve the portfolio performance. We introduce a new approach namely Markov switching copula approach to estimate the dependence between asset returns and evaluated the ris...
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th-cmuir.6653943832-423002017-09-28T04:26:19Z Does Asian credit default swap index improve portfolio performance? Khiewngamdee C. Yamaka W. Sriboonchitta S. © Springer International Publishing AG 2016. This study aims to find whether adding Asian Credit Default Swap (CDS) index will improve the portfolio performance. We introduce a new approach namely Markov switching copula approach to estimate the dependence between asset returns and evaluated the risks of the portfolio by using Value at Risk and Expected Shortfall. The empirical results show that the risk level in high dependence regime is less than in low dependence regime. We also find that including Asian CDS index in portfolio clearly increases the portfolio return. 2017-09-28T04:26:19Z 2017-09-28T04:26:19Z 2016-01-01 Book Series 03029743 2-s2.0-85005980457 10.1007/978-3-319-49046-5_53 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42300 |
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© Springer International Publishing AG 2016. This study aims to find whether adding Asian Credit Default Swap (CDS) index will improve the portfolio performance. We introduce a new approach namely Markov switching copula approach to estimate the dependence between asset returns and evaluated the risks of the portfolio by using Value at Risk and Expected Shortfall. The empirical results show that the risk level in high dependence regime is less than in low dependence regime. We also find that including Asian CDS index in portfolio clearly increases the portfolio return. |
| format |
Book Series |
| author |
Khiewngamdee C. Yamaka W. Sriboonchitta S. |
| spellingShingle |
Khiewngamdee C. Yamaka W. Sriboonchitta S. Does Asian credit default swap index improve portfolio performance? |
| author_facet |
Khiewngamdee C. Yamaka W. Sriboonchitta S. |
| author_sort |
Khiewngamdee C. |
| title |
Does Asian credit default swap index improve portfolio performance? |
| title_short |
Does Asian credit default swap index improve portfolio performance? |
| title_full |
Does Asian credit default swap index improve portfolio performance? |
| title_fullStr |
Does Asian credit default swap index improve portfolio performance? |
| title_full_unstemmed |
Does Asian credit default swap index improve portfolio performance? |
| title_sort |
does asian credit default swap index improve portfolio performance? |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42300 |
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