The role of Asian credit default swap index in portfolio risk management
� Springer International Publishing AG 2017. This paper aims at evaluating the performance of Asian Credit Default Swap (CDS) index in risk measurement and portfolio optimization by using several multivariate copulas-GARCH models with Expected Shortfall and Sharpe ratio. Multivariate copula-GARCH...
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| Main Authors: | , , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012937523&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46696 |
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| 機構: | Chiang Mai University |