CATASTROPHE RISK BONDS potx

... JOURNAL,VOLUME 4, NUMBER 4 CATASTROPHE RISK BONDS Samuel H. Cox* and Hal W. Pedersen † ABSTRACT This article examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional ... MODELING CATASTROPHE RISK BONDS In the previous section, we discussed the securi- tization underlying catastrophe risk bonds. In this section, we adopt a stand...

Ngày tải lên: 22/03/2014, 18:20

Ngày tải lên: 06/03/2014, 08:20

... higher education) had the highest risk of breast cancer, which was 74% above that of women in agriculture, who had the lowest risk. The records were adequate to control for various risk factors, and the study ... Wohlfahrt J, Olsen JH, et al. Induced abortion and the risk of breast cancer. 1997:336.81-85. Brewster DH, Stockton DL, Dobbie R, et al. Risk of breast cancer after miscarri...

Ngày tải lên: 06/03/2014, 02:21

... see Appendix I. Bond/Loan Asset Swap Credit Default Swap Credit risk Funding risk Risk free rate Credit risk Funding risk Credit risk 9 where, C is the annual coupon; L(i-1,i) is the forward ... credit risk of an issuer. While the bond spread incorporates a number of risks, including credit risk, funding risk (an investor needs cash to buy the bond), and fixed interest r...

Ngày tải lên: 06/03/2014, 04:21

... financiallcreditltreasury risk country risk RlSK MANAGEMENT STATUS QUO - EFFICIENT BUT NOT EFFECTIVE? 11 a market risk a project risk operational risk technical risk a health and safety ... (PMI Risk SIG) www.RiskSIG.com UKAPM Risk SIG www.euro1og.co.ukIAPMRiskSIG International Association of Contract and Commercial Managers (IACCM) Risk Working Group www...

Ngày tải lên: 11/03/2014, 05:22

... risk- adjusted interest rates. We note that there are two, three, and four different risk- free short r ates at times 1, 2, and 3, respectively. How ever, there are four, nine, and 16 different risk- adjusted rates ... the risk- free bond price. Here, there are (t +1) 2 prices at time t. Model for P ricing Options on Credit-Sensitive Bonds 10 5 Numerical Results: Bermudan Sw aptions and O...

Ngày tải lên: 22/03/2014, 18:20

... plus cash-flow risk, so any variable that forecasts bond returns should also forecast stock returns, unless a time-varying cash-flow risk premium happens exactly to oppose the time-varying in- terest rate risk ... errors do not affect our central results. (JEL G0, G1, E0, E4) We study time-varying risk premia in U.S. government bonds. We run regressions of one- year excess returns–borro...

Ngày tải lên: 22/03/2014, 18:20

... projects Sovereign Catastrophe Insurance Pools • Caribbean Catastrophe Risk Insurance Facility (CCRIF) Insurance-Linked Securities • Catastrophe bonds • Weather hedges (IBRD and IDA) Catastrophe Insurance ... projects Sovereign Catastrophe Insurance Pools • Caribbean Catastrophe Risk Insurance Facility (CCRIF) Insurance-Linked Securities • Catastrophe bonds • Weather...

Ngày tải lên: 22/03/2014, 21:20

... 31, 2005 17 Appendix A: Savings Bonds Today Series EE and I bonds are the two savings bonds products now available (Table 6 summarizes the key features of the bonds in comparison to other financial products). 18 Both ... and I savings bonds were less costly than Treasury marketable securi- ties. 9 In May 2005, Treasury substantially changed the terms of EE bonds. Instead of having...

Ngày tải lên: 29/03/2014, 03:20

... speculative risk. A pure risk is a chance of loss or no loss, and a speculative risk is characterized as a chance of loss or gain. An example of pure risk is catastrophe risk, such as an earthquake, ... combining both pure risk and speculative risk. With the discovery of new risks, new hedging instruments will be developed to further blur the line of pure risk and speculative...

Ngày tải lên: 30/03/2014, 01:20