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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Main Authors:	Chatchai Khiewngamdee, Woraphon Yamaka, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55572
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Institution:	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

Does Asian credit default swap index improve portfolio performance?

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