Please use this identifier to cite or link to this item:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37512| Title: | 探討巨災債卷利差之影響因素 Explaining the Excess Spread Premiums on Catastrophe Bonds |
| Authors: | Debra Lei 雷祖琦 |
| Advisor: | 曾郁仁(Larry Tzeng) |
| Keyword: | 巨災債券,定價,發行價,利差,保險, CAT bonds,pricing,issuing price,spread,catastrophe insurance, |
| Publication Year : | 2008 |
| Degree: | 碩士 |
| Abstract: | The purpose of this article is to explain the excess spread premiums of CAT bonds, i.e., the risk premiums investors ask. Issuing data of nonlife CAT bonds during 1997 and 2007 are analyzed. We find that the probability of exhaustion (POE) is the factor investors care most. Moreover, the pricing behavior has changed after Hurricane Katrina, the first publicly acknowledged CAT bond with total loss of principal. While more emphasis has been put on POE, the offering size of the bond and the rating become less informative for the price of the bond. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37512 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 財務金融學系 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-97-1.pdf Restricted Access | 437.22 kB | Adobe PDF |
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