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Erschienen in:
Robust Estimation of Heckman Model Kapitel lesen Erstes Kapitel lesen

2017 | OriginalPaper | Buchkapitel

The Role of Asian Credit Default Swap Index in Portfolio Risk Management

verfasst von : Jianxu Liu, Chatchai Khiewngamdee, Songsak Sriboonchitta

Erschienen in: Robustness in Econometrics

Verlag: Springer International Publishing

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Abstract

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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Metadaten
Titel
The Role of Asian Credit Default Swap Index in Portfolio Risk Management
verfasst von
Jianxu Liu
Chatchai Khiewngamdee
Songsak Sriboonchitta
Copyright-Jahr
2017
Buch
Robustness in Econometrics

Print ISBN: 978-3-319-50741-5

Electronic ISBN: 978-3-319-50742-2

Copyright-Jahr: 2017

DOI
https://doi.org/10.1007/978-3-319-50742-2_26