Modeling, Dynamics, Optimization and Bioeconomics II
Modeling, Dynamics, Optimization and Bioeconomics II
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DOI：
10.1007/978-3-319-04849-9
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
A. Pinto;D. Zilberman
中科院分区：
文献类型：
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作者：
A. Pinto;D. Zilberman
本文考察了2005年飓风季节，特别是卡特里娜飓风对CAT债券定价的影响。我们考察了高评级的CAT债券在客观风险度量和利差之间是否表现出不同于次投资债券的关系。这种关系的理论框架基于Lane提出的Lance Financial(LFC)模型(LFC CAT债券定价模型的基本原理和结果，讨论文件，Lane Financial LLC，Wilmette，2003)。树状贝叶斯估计的实证结果证实，价差的严重性分量具有更大的影响，表明在定价过程中投资者的看法发生了转变。条件预期损失的影响也显著增加，但它通过与依恋概率的相互作用而不是通过其方差来贡献。最后，我们发现，投资级评级也增加了有条件预期损失的影响，因为要求高评级债券的投资者可能比垃圾债券投资者更担心可能的损失。
This paper examines the impact of the 2005 hurricane season, particularly Hurricane Katrina, on the pricing of CAT bonds. We examine whether highly rated CAT bonds demonstrate a different relationship than subinvestment bonds between objective risk measures and the spread. The theoretical framework for this relationship is based on the Lance Financial (LFC) model, introduced by Lane (Rationale and results with the LFC cat bond pricing model, Discussion paper, Lane Financial LLC, Wilmette, 2003). The empirical results of treed Bayesian estimation confirm that the severity component of the spread has an increased impact, indicating a shift in investor perception during the pricing process. The impact of the conditional expected loss also significantly increases, but it contributes through its interaction with the attachment probability rather than through its variance. Finally, we show that the influence of conditional expected loss is also increased by investment-grade ratings, because investors who demand highly rated bonds may be more concerned about possible losses than junk bond investors.