Diversification through catastrophe bonds : lessons from the subprime financial crisis
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20150004420 | ||
| 003 | MAP | ||
| 005 | 20150209165103.0 | ||
| 008 | 150126e20150105esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a212 | ||
| 100 | 1 | $0MAPA20150005212$aCarayannopoulos, Peter | |
| 245 | 1 | 0 | $aDiversification through catastrophe bonds$b: lessons from the subprime financial crisis$cPeter Carayannopoulos, M. Fabricio Perez |
| 520 | $aAre catastrophe bonds (CAT bonds) zero-beta investments? Are they a valuable new source of diversification for investors? We study these questions by analysing the dynamic relations of CAT bond returns and the returns of the stock, corporate bond and government bond markets. Our multivariate GARCH model results provide evidence that CAT bonds are zero-beta assets only in non-crisis periods. We document that CAT bonds were not immune to the effects of the recent financial crisis. With the collapse of Lehman Brothers, CAT bond returns became significantly correlated with the market. However, the relatively small effect of the crisis on CAT bonds compared with other asset classes make them a valuable source of diversification for investors. Finally, it seems that the improved structures for new CAT bonds issued since 2009 have been positively received by the market, as CAT bond betas returned to pre-crisis levels. | ||
| 650 | 4 | $0MAPA20080586317$aMercado de valores | |
| 650 | 4 | $0MAPA20080538279$aBonos | |
| 650 | 4 | $0MAPA20080588816$aActivos financieros | |
| 650 | 4 | $0MAPA20080611248$aInversiones financieras | |
| 650 | 4 | $0MAPA20080579814$aCrisis financiera | |
| 650 | 4 | $0MAPA20080591007$aFondo de Catástrofe | |
| 650 | 4 | $0MAPA20080604370$aValoración de activos | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080597665$aMétodos estadísticos | |
| 700 | 1 | $0MAPA20150005915$aPerez, M. Fabricio | |
| 773 | 0 | $wMAP20077100215$tGeneva papers on risk and insurance : issues and practice$dGeneva : The Geneva Association, 1976-$x1018-5895$g05/01/2015 Volumen 40 Número 1 - enero 2015 , p. 1-28 |