Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55572
Title: Does Asian credit default swap index improve portfolio performance?
Authors: Chatchai Khiewngamdee
Woraphon Yamaka
Songsak Sriboonchitta
Keywords: Computer Science
Mathematics
Issue Date: 1-Jan-2016
Abstract: © 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005980457&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55572
ISSN: 16113349
03029743
Appears in Collections:CMUL: Journal Articles

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