探討巨災債卷利差之影響因素

Explaining the Excess Spread Premiums on Catastrophe Bonds

雷祖琦(Debra Lei)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.00729

摘要

無資料

關鍵字

巨災債券 ； 定價 ； 發行價 ； 利差 ； 保險

並列摘要

The purpose of this article is to explain the excess spread premiums of CAT bonds, i.e., the risk premiums investors ask. Issuing data of nonlife CAT bonds during 1997 and 2007 are analyzed. We find that the probability of exhaustion (POE) is the factor investors care most. Moreover, the pricing behavior has changed after Hurricane Katrina, the first publicly acknowledged CAT bond with total loss of principal. While more emphasis has been put on POE, the offering size of the bond and the rating become less informative for the price of the bond.

並列關鍵字

CAT bonds ； pricing ； issuing price ； spread ； catastrophe insurance

參考文獻

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