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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th-cmuir.6653943832-466962018-04-25T07:27:52Z The role of Asian credit default swap index in portfolio risk management Jianxu Liu Chatchai Khiewngamdee Songsak Sriboonchitta Agricultural and Biological Sciences � 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 models consider the volatility and dependence structures of financial assets so that they are conductive to accurately predict risk and optimal portfolio. We find that vine copulas have better performance than other multivariate copulas in model estimation, while the multivariate T copulas have better performance than other kinds of copulas in risk measurement and portfolio optimization. Therefore, the model estimation, risk measurement, and portfolio optimization in empirical study should use different copula models. More importantly, the empirical results give evidences that Asian CDS index can reduce risk. 2018-04-25T06:59:38Z 2018-04-25T06:59:38Z 2017-02-01 Book Series 1860949X 2-s2.0-85012937523 10.1007/978-3-319-50742-2_26 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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Agricultural and Biological Sciences Jianxu Liu Chatchai Khiewngamdee Songsak Sriboonchitta The role of Asian credit default swap index in portfolio risk management |
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� 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 models consider the volatility and dependence structures of financial assets so that they are conductive to accurately predict risk and optimal portfolio. We find that vine copulas have better performance than other multivariate copulas in model estimation, while the multivariate T copulas have better performance than other kinds of copulas in risk measurement and portfolio optimization. Therefore, the model estimation, risk measurement, and portfolio optimization in empirical study should use different copula models. More importantly, the empirical results give evidences that Asian CDS index can reduce risk. |
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Book Series |
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Jianxu Liu Chatchai Khiewngamdee Songsak Sriboonchitta |
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Jianxu Liu Chatchai Khiewngamdee Songsak Sriboonchitta |
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Jianxu Liu |
title |
The role of Asian credit default swap index in portfolio risk management |
title_short |
The role of Asian credit default swap index in portfolio risk management |
title_full |
The role of Asian credit default swap index in portfolio risk management |
title_fullStr |
The role of Asian credit default swap index in portfolio risk management |
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The role of Asian credit default swap index in portfolio risk management |
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role of asian credit default swap index in portfolio risk management |
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2018 |
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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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