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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24045完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁(Larry Tzeng) | |
| dc.contributor.author | Hsiang-Yu Shih | en |
| dc.contributor.author | 施翔宇 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:14:45Z | - |
| dc.date.copyright | 2006-07-03 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-06-27 | |
| dc.identifier.citation | References
Bantwal, Vivek J. and Howard C. Kunreuther, 1999, A CAT Bond Premium Puzzle?, Wharton School Campbell, John Y. and Glen B. Taksler, 2003, Equity Volatility and Corporate Bond Yields, Journal of Finance 58, 2321-2348 Canabarro, Eduardo, Markus Finkemeier, Richard R. Anderson, Fouad Bendimerad, 2000, Analyzing Insurance-Linked Securities, Journal of Risk Finance Chen, Long, David A. Lesmond, and Jason Wei, 2004, Corporate Yield Spreads and Bond Liquidity, Working Paper Cummins, J. David, David Lalonde, and Richard D. Phillips, 2000, The Basis Risk of Catastrophic-loss Index Securities, Journal of Financial Economics 71, 77-111 Delianedis, Gordon and Robert Greske, 2001, The Components of Corporate Credit Spreads, Working Paper, UCLA Dubinsky, William and David Laster, 2003, Insurance-linked Securities, Swiss Re Elton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, 2001, Explaining the Rate Spread on Corporate Bonds, Journal of Finance 56, 247-277 FitchRatings, 2001, Rating Guidelines for Catastrophe-Linked Bonds, Criteria Report Frank de Jong and Joost Driessen, 2005, Liquidity Risk Premia in Corporate Bond Markets, Working Paper International Association of Insurance Supervisors (IAIS), 2003, Issues Paper on Non-Life Insurance Securitization Kreps, Rodney E., 1998, Investment-Equivalent Reinsurance Pricing, PCAS Proceedings Lane, Morton N., 2003, Rationale and Results with the LFC CAT Bond Pricing Model, Lane Finance L.L.C. Lane, Morton N., 2004, The Viability and Likely Pricing of “CAT Bonds” for Developing Countries, Lane Finance L.L.C. MMC Securities, 2005, The Growing Appetite for Catastrophe Risk: The Catastrophe Bond Market at Year-End 2004 MMC Securities, 2006, The Catastrophe Bond Market at Year-End 2005 Mocklow, David, John DeCaro, and Matthew McKenna, 2002, Catastrophe Bonds, Alternative Risk Strategies, 47-79 Swiss Re., 1999, Alternative Risk Transfer for Corporations: a passing fashion or risk management for the 21st century?, Sigma, No.2 Swiss Re., 2001, Capital Market Innovation in the Insurance Industry, Sigma, No.3 Swiss Re., 2001, Profitability of the Non-life Insurance Industry: it’s back-to-basics time, Sigma, No.5 Swiss Re., 2003, The Picture of ART, Sigma, No.1 Swiss Re., 2003, Insurance Company Ratings, Sigma, No.4 Wang, Shaun, 2002, Pricing of Catastrophe Bonds, Alternative Risk Strategies, 221-237 Data Sources ARTEMIS’s website: www.artemis.bm/html/dealdir/index.htm Financial Services Authority, 2002, Cross-Sector Risk Transfers, Discussion Paper Lane, Morton N., 2001, Analyzing the Pricing of the 2001 Risk-linked Securities Transactions, Lane Finance L.L.C. Lane, Morton N., 2003, 2003 Review of Trends in Insurance Securitization, Lane Finance L.L.C. Lane, Morton N., 2004, 2004 Review of Trends in Insurance Securitization, Lane Finance L.L.C. Levin, Neil D., 1999, Temporary Panel on Homeowners’ Insurance Coverage National Central University, 2005, A Research on Risk Transfer by Catastrophe Bonds Swiss Re., 2006, Insurance-Linked Securities Market Update Wang, Shaun S., 2004, Cat Bond Pricing Using Probability Transforms, Geneva 278, 19-29 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24045 | - |
| dc.description.abstract | 巨災債券投資人享有的利息收入為三個月LIBOR加上一個固定的利差(spreads)，巨災債券從1990年代後期開始發展，相關的研究眾多，探討利差的文章卻付之闕如，亦無完整的交易的資訊。本文透過各種管道蒐集了1997年至2005年的交易，運用兩個迴歸模型：取自然對數後的LFC模型和本文提出的Aggregate Model，並參考相關文獻，希望找出影響利差高低的因子。實證結果顯示，損失的頻率及幅度、發行金額、所連結的天災風險(peril)的數目和非投資等級之信用評等，對利差有顯著的解釋能力。然而，損失攤陪條件(trigger types)雖被眾多文獻認為有影響能力，在本研究中並不被實證結果所支持。而本篇文章提出的模型，其調整後R2明顯比取自然對數後的LFC模型來得高出許多，證明Aggregate Model的確為目前最能解釋巨災債券利差的模型。 | zh_TW |
| dc.description.abstract | The study attempts to explain the spreads over three-month LIBOR rates on catastrophe bonds using regression models. Transactions from 1997 to 2005 are all analyzed by two empirical pricing models, namely the log LFC Model and Aggregate Model. Analytical results indicate that spreads are explained by frequency and severity of loss, size of issue, numbers of perils and non-investment grade rating. However, the role of trigger types is not supported sufficiently. The proposed Aggregate Model generates more accurate estimates for actual spreads than log LFC Model. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:45Z (GMT). No. of bitstreams: 1 ntu-95-R93723034-1.pdf: 181159 bytes, checksum: b5613092ebecadfcdcad4dfada33101a (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | Contents
1. Introduction ……………………………………………………… 1 2. Data, Models, and Methodology ……………………………… 4 2.1 Selection of Factors ………………………………………… 4 2.2 Models ……………………………………………………...... 7 2.3 Data …………………………………………………………... 9 2.4 Summary Statistics ……………………………………………12 3. Empirical Results ………………………………………………16 4. Conclusion ……………………………………………………… 23 References …………………………………………………………. 25 Data Sources …………………………………………………………26 | |
| dc.language.iso | en | |
| dc.subject | 巨災債券 | zh_TW |
| dc.subject | 利差 | zh_TW |
| dc.subject | 迴歸模型 | zh_TW |
| dc.subject | Regression Models | en |
| dc.subject | Spreads | en |
| dc.subject | Catastrophe Bonds | en |
| dc.title | 巨災債券利差影響因素之探討 | zh_TW |
| dc.title | Explaining the Spreads on Catastrophe Bonds | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王仁宏,黃瑞卿 | |
| dc.subject.keyword | 巨災債券,利差,迴歸模型, | zh_TW |
| dc.subject.keyword | Catastrophe Bonds,Spreads,Regression Models, | en |
| dc.relation.page | 26 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2006-06-28 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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