---
_id: '4562'
abstract:
- lang: eng
  text: Employing main and sector-specific investment-grade CDS indices from the North
    American and European CDS market and performing mean-variance out-of-sample analyses
    for conservative and aggressive investors over the period from 2006 to 2014, this
    paper analyzes portfolio benefits of adding corporate CDS indices to a traditional
    financial portfolio consisting of stock and sovereign bond indices. As a baseline
    result, we initially find an increase in portfolio (downside) risk-diversification
    when adding CDS indices, which is observed irrespective of both CDS markets, investor-types
    and different sub-periods, including the global financial crisis and European
    sovereign debt crisis. In addition, the analysis reveals higher portfolio excess
    returns and performance in CDS index portfolios, however, these effects clearly
    differ between markets, investor-types and sub-periods. Overall, portfolio benefits
    of adding CDS indices mainly result from the fact that institutional investors
    replace sovereign bond indices rather than stock indices by CDS indices due to
    better risk-return characteristics. Our baseline findings remain robust under
    a variety of robustness checks. Results from sensitivity analyses provide further
    important implications for institutional investors with a strategic focus on a
    long-term conservative portfolio management.
article_type: original
author:
- first_name: Benjamin
  full_name: Hippert, Benjamin
  id: '48476'
  last_name: Hippert
- first_name: André
  full_name: Uhde, André
  id: '36049'
  last_name: Uhde
  orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
  full_name: Wengerek, Sascha Tobias
  id: '48837'
  last_name: Wengerek
  orcid: 0000-0002-7820-3903
citation:
  ama: 'Hippert B, Uhde A, Wengerek ST. Portfolio Benefits of Adding Corporate Credit
    Default Swap Indices: Evidence from North America and Europe. <i>Review of Derivatives
    Research </i>. 2019;22(2):203-259. doi:<a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>'
  apa: 'Hippert, B., Uhde, A., &#38; Wengerek, S. T. (2019). Portfolio Benefits of
    Adding Corporate Credit Default Swap Indices: Evidence from North America and
    Europe. <i>Review of Derivatives Research </i>, <i>22</i>(2), 203–259. <a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>'
  bibtex: '@article{Hippert_Uhde_Wengerek_2019, title={Portfolio Benefits of Adding
    Corporate Credit Default Swap Indices: Evidence from North America and Europe},
    volume={22}, DOI={<a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>},
    number={2}, journal={Review of Derivatives Research }, author={Hippert, Benjamin
    and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, pages={203–259} }'
  chicago: 'Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. “Portfolio
    Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North
    America and Europe.” <i>Review of Derivatives Research </i> 22, no. 2 (2019):
    203–59. <a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>.'
  ieee: 'B. Hippert, A. Uhde, and S. T. Wengerek, “Portfolio Benefits of Adding Corporate
    Credit Default Swap Indices: Evidence from North America and Europe,” <i>Review
    of Derivatives Research </i>, vol. 22, no. 2, pp. 203–259, 2019, doi: <a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>.'
  mla: 'Hippert, Benjamin, et al. “Portfolio Benefits of Adding Corporate Credit Default
    Swap Indices: Evidence from North America and Europe.” <i>Review of Derivatives
    Research </i>, vol. 22, no. 2, 2019, pp. 203–59, doi:<a href="https://doi.org/10.1007/s11147-018-9148-8">https://doi.org/10.1007/s11147-018-9148-8</a>.'
  short: B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research  22 (2019)
    203–259.
date_created: 2018-10-01T12:17:35Z
date_updated: 2022-05-04T06:15:02Z
department:
- _id: '188'
- _id: '186'
doi: https://doi.org/10.1007/s11147-018-9148-8
intvolume: '        22'
issue: '2'
jel:
- C61
- G01
- G11
- G15
- G23
keyword:
- Corporate credit default swap indices
- Mean-variance asset allocation
- Out-of-sample portfolio optimization
- Portfolio risk-diversification
- Portfolio performance evaluation
language:
- iso: eng
page: 203-259
publication: 'Review of Derivatives Research '
publication_status: published
status: public
title: 'Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence
  from North America and Europe'
type: journal_article
user_id: '36049'
volume: 22
year: '2019'
...