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Does Asian Credit Default Swap Index Improve Portfolio Performance?

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2016)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9978))

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Abstract

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.

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Acknowledgement

We are grateful for financial support from Graduate School, Chiang Mai University.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Chatchai Khiewngamdee, Woraphon Yamaka & Songsak Sriboonchitta

Authors
  1. Chatchai Khiewngamdee
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  2. Woraphon Yamaka
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  3. Songsak Sriboonchitta
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Corresponding author

Correspondence to Chatchai Khiewngamdee .

Editor information

Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Ishikawa, Japan

    Van-Nam Huynh

  2. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka, Japan

    Masahiro Inuiguchi

  3. University of Science, Ho Chi Minh City, Vietnam

    Bac Le

  4. Duy Tan University, Da Nang, Vietnam

    Bao Nguyen Le

  5. Université de Technologie de Compiègne , Compiègne, France

    Thierry Denoeux

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Khiewngamdee, C., Yamaka, W., Sriboonchitta, S. (2016). Does Asian Credit Default Swap Index Improve Portfolio Performance?. In: Huynh, VN., Inuiguchi, M., Le, B., Le, B., Denoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2016. Lecture Notes in Computer Science(), vol 9978. Springer, Cham. https://doi.org/10.1007/978-3-319-49046-5_53

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  • DOI: https://doi.org/10.1007/978-3-319-49046-5_53

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-49045-8

  • Online ISBN: 978-3-319-49046-5

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