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Title: The role of Asian credit default swap index in portfolio risk management
Authors: Jianxu Liu
Chatchai Khiewngamdee
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Feb-2017
Abstract: © 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 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.
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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