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...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | Book Series |
| 出版: |
2018
|
| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55572 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Chiang Mai University |
| id |
th-cmuir.6653943832-55572 |
|---|---|
| record_format |
dspace |
| spelling |
th-cmuir.6653943832-555722018-09-05T03:06:49Z Does Asian credit default swap index improve portfolio performance? Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Computer Science Mathematics © 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. 2018-09-05T02:57:59Z 2018-09-05T02:57:59Z 2016-01-01 Book Series 16113349 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/6653943832/55572 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| topic |
Computer Science Mathematics |
| spellingShingle |
Computer Science Mathematics Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta Does Asian credit default swap index improve portfolio performance? |
| description |
© 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 |
Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta |
| author_facet |
Chatchai Khiewngamdee Woraphon Yamaka Songsak Sriboonchitta |
| author_sort |
Chatchai Khiewngamdee |
| 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 |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55572 |
| _version_ |
1681424530848874496 |