Explaining the Spreads on Catastrophe Bonds
Date Issued
2006
Date
2006
Author(s)
Shih, Hsiang-Yu
DOI
en-US
Abstract
The study attempts to explain the spreads over three-month LIBOR rates on catastrophe bonds using regression models. Transactions from 1997 to 2005 are all analyzed by two empirical pricing models, namely the log LFC Model and Aggregate Model. Analytical results indicate that spreads are explained by frequency and severity of loss, size of issue, numbers of perils and non-investment grade rating. However, the role of trigger types is not supported sufficiently. The proposed Aggregate Model generates more accurate estimates for actual spreads than log LFC Model.
Subjects
巨災債券
利差
迴歸模型
Catastrophe Bonds
Spreads
Regression Models
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-95-R93723034-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):420ee31fbaf707ab959f91b1316a6a2e