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...

Full description

Saved in:
Bibliographic Details
Main Authors: Jianxu Liu, Chatchai Khiewngamdee, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012937523&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46696
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
Be the first to leave a comment!
You must be logged in first