A multifactor pricing model for cat bonds in the secondary market

Given the relevance that Cat Bonds are taking in the financial markets, as well as their appeal for different types of investors, it becomes pertinent to understand the price dynamics of these securities in the secondary market. Several authors have developed and proposed different valuation approac...

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Autores:
Gomez, Laura
Carcamo, Ulises
Tipo de recurso:
Fecha de publicación:
2014
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7626
Acceso en línea:
http://hdl.handle.net/10784/7626
Palabra clave:
Cat Bonds
ILS
Secondary market
Indicative spread
Panel data
Rights
License
openAccess
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spelling 20142015-11-06T21:15:37Z20142015-11-06T21:15:37Z2146-7943http://hdl.handle.net/10784/7626Given the relevance that Cat Bonds are taking in the financial markets, as well as their appeal for different types of investors, it becomes pertinent to understand the price dynamics of these securities in the secondary market. Several authors have developed and proposed different valuation approaches, focusing on the probability of occurrence of catastrophic events, as the main variable impacting the pricing of Cat bonds in the secondary market. However, the lack of inclusion of other factors considered relevant for investors, narrows the range of pricing driver’s of Cat Bonds. This paper seeks to address the former need, presenting a panel data approach of a multifactor spread model, which comprehends 5 relevant variables. The results proved an adequate fitness and show that the model can be applied to both the P&C and, the Life market.engPress AcademiaJournal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258http://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889http://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889openAccessAcceso abiertohttp://purl.org/coar/access_right/c_abf2Journal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258A multifactor pricing model for cat bonds in the secondary marketarticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículopublishedVersionObra publicadahttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Cat BondsILSSecondary marketIndicative spreadPanel dataEconomía y FinanzasFinanzasGomez, LauraCarcamo, UlisesUniversidad EAFIT, ColombiaUniversidad EAFIT, ColombiaGrupo de Investigación Finanzas y BancaJournal of Business, Economics & Finance32247258ORIGINAL374565.pdf374565.pdfapplication/pdf811405https://repository.eafit.edu.co/bitstreams/0ffd724c-9a5e-43a7-b301-80ef545b6a69/downloada1d7bdde1fad92f4d923aacc1974fbd5MD5110784/7626oai:repository.eafit.edu.co:10784/76262023-03-15 08:32:10.375open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv A multifactor pricing model for cat bonds in the secondary market
title A multifactor pricing model for cat bonds in the secondary market
spellingShingle A multifactor pricing model for cat bonds in the secondary market
Cat Bonds
ILS
Secondary market
Indicative spread
Panel data
title_short A multifactor pricing model for cat bonds in the secondary market
title_full A multifactor pricing model for cat bonds in the secondary market
title_fullStr A multifactor pricing model for cat bonds in the secondary market
title_full_unstemmed A multifactor pricing model for cat bonds in the secondary market
title_sort A multifactor pricing model for cat bonds in the secondary market
dc.creator.fl_str_mv Gomez, Laura
Carcamo, Ulises
dc.contributor.department.spa.fl_str_mv Economía y Finanzas
Finanzas
dc.contributor.author.spa.fl_str_mv Gomez, Laura
Carcamo, Ulises
dc.contributor.affiliation.spa.fl_str_mv Universidad EAFIT, Colombia
Universidad EAFIT, Colombia
dc.contributor.program.spa.fl_str_mv Grupo de Investigación Finanzas y Banca
dc.subject.keyword.eng.fl_str_mv Cat Bonds
ILS
Secondary market
Indicative spread
Panel data
topic Cat Bonds
ILS
Secondary market
Indicative spread
Panel data
description Given the relevance that Cat Bonds are taking in the financial markets, as well as their appeal for different types of investors, it becomes pertinent to understand the price dynamics of these securities in the secondary market. Several authors have developed and proposed different valuation approaches, focusing on the probability of occurrence of catastrophic events, as the main variable impacting the pricing of Cat bonds in the secondary market. However, the lack of inclusion of other factors considered relevant for investors, narrows the range of pricing driver’s of Cat Bonds. This paper seeks to address the former need, presenting a panel data approach of a multifactor spread model, which comprehends 5 relevant variables. The results proved an adequate fitness and show that the model can be applied to both the P&C and, the Life market.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.available.none.fl_str_mv 2015-11-06T21:15:37Z
dc.date.accessioned.none.fl_str_mv 2015-11-06T21:15:37Z
dc.date.none.fl_str_mv 2014
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.eng.fl_str_mv publishedVersion
dc.type.hasVersion.spa.fl_str_mv Obra publicada
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2146-7943
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7626
identifier_str_mv 2146-7943
url http://hdl.handle.net/10784/7626
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv Journal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258
dc.relation.isversionof.none.fl_str_mv http://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889
dc.relation.uri.none.fl_str_mv http://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889
dc.rights.eng.fl_str_mv openAccess
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv openAccess
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.publisher.eng.fl_str_mv Press Academia
dc.source.spa.fl_str_mv Journal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258
institution Universidad EAFIT
bitstream.url.fl_str_mv https://repository.eafit.edu.co/bitstreams/0ffd724c-9a5e-43a7-b301-80ef545b6a69/download
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repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
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