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Diversification through catastrophe bonds : lessons from the subprime financial crisis

Recurso electrónico / electronic resource
MARC record
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎212
1001 ‎$0‎MAPA20150005212‎$a‎Carayannopoulos, Peter
24510‎$a‎Diversification through catastrophe bonds‎$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
7001 ‎$0‎MAPA20150005915‎$a‎Perez, M. Fabricio
7730 ‎$w‎MAP20077100215‎$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