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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37512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 | Debra Lei | en |
| dc.contributor.author | 雷祖琦 | zh_TW |
| dc.date.accessioned | 2021-06-13T15:30:49Z | - |
| dc.date.available | 2011-07-23 | |
| dc.date.copyright | 2008-07-23 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-07-15 | |
| dc.identifier.citation | Cai, N., Helwege, J., and Warga, A., 2007. Underpricing in the Corporate Bond Market. Review of Financial Studies, 20: 2021-2046.
Cummins, J. D., Lalonde, D., and Phillips, R. D., 2004. The Basis Risk of Catastrophic-Loss Index Securities. Journal of Financial Economics, 71:77-111. Cummins, J. D., 2007. Innovation in Alternative Risk Transfer: Capital Market and Insurance Market Solutions. Paper presentation in SCOR-JRI conference. Cummins, J. D., 2008. CAT Bonds and Other Risk-Linked Securities: State of the Market and Recent Developments. Risk Management and Insurance Review, 11, 1: 23-47. Fung, W. K. H. and Rudd, A., 1986. Pricing New Corporate Bond Issues: An Analysis of Issue Cost and Seasoning Effects. Journal of Finance, 41, 3:633-643. Datta, S., Iskandar-Datta, M., and Patel, A., 1997. The Pricing of Initial Public Offers of Corporate Straight Debt. Journal of Finance, 52: 379-396. Doherty, N., 1997. Financial innovation in the management of catastrophe risk. Journal of Applied Corporate Finance, 10: 87-95. Froot, K., 2001. The Market for Catastrophe Risk: A Clinical Examination. Journal of Financial Economics, 60: 529-571. Froot, K., 2002. The Pricing of Event Risks with Parameter Uncertainty. The Geneva Papers on Risk and Insurance Theory, 27:153-165. Fung, W. K. H. and Rudd, A., 1986. Pricing New Corporate Bond Issues: An Analysis of Issue Cost and Seasoning Effects, Journal of Finance, 41:633-643. Guy Carpenter, 2005. The Growing Appetite for Catastrophe Risk: The Catastrophe Bonds Market at Year-End 2004 (New York). Guy Carpenter, 2006. The Catastrophe Bond Market at Year-End 2005: Ripple Effects from Record Storms (New York). Guy Carpenter, 2007. The Catastrophe Bond Market at Year-End 2006: Ripples Into Waves (New York). Lane, M., 2001. Analyzing the Pricing of the 2001 Risk-Linked Securities Transactions. (Kenilworth, IL: Lane Financial). Lane, M. and Beckwith, R., 2002. 2002 Review of Trends in Insurance Securitization. (Kenilworth, IL: Lane Financial). Lane, M. and Beckwith, R., 2003. 2003 Review of Trends in Insurance Securitization. (Wilmette, IL: Lane Financial). Lane, M. and Beckwith, R., 2004. 2004 Review of Trends in Insurance Securitization. (Wilmette, IL: Lane Financial). Lane, M. and Beckwith, R., 2005. The 2005 Review of the Insurance Securitization Market Game On! (Wilmette, IL: Lane Financial). Lane, M. and Beckwith, R., 2006. How High Is UP: The 2006 Review of the Insurance Securitization Market (Wilmette, IL: Lane Financial). Lane, M. and Beckwith, R., 2007. That Was the Year that Was! The 2007 Review of the Insurance Securitization Market (Wilmette, IL: Lane Financial). Lee, J. and Yu, M., 2002. Pricing Default-Risky CAT Bonds with Moral Hazard and Basic Risk. Journal of Risk and Insurance, 69: 25-44. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37512 | - |
| dc.description.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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T15:30:49Z (GMT). No. of bitstreams: 1 ntu-97-R94723093-1.pdf: 447712 bytes, checksum: c71c314764a738994579ccbf1288f974 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | I. Introduction ......................1
II. Data and Methodology .............3 A.Data .............................3 B.Explanatory Variables .............5 III. Empirical Results .............9 IV. Conclusion ......................16 References ......................18 | |
| dc.language.iso | en | |
| dc.subject | 保險 | zh_TW |
| dc.subject | 巨災債券 | zh_TW |
| dc.subject | 定價 | zh_TW |
| dc.subject | 發行價 | zh_TW |
| dc.subject | 利差 | zh_TW |
| dc.subject | pricing | en |
| dc.subject | catastrophe insurance | en |
| dc.subject | spread | en |
| dc.subject | issuing price | en |
| dc.subject | CAT bonds | en |
| dc.title | 探討巨災債卷利差之影響因素 | zh_TW |
| dc.title | Explaining the Excess Spread Premiums on Catastrophe Bonds | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳業寧,王仁宏,黃瑞卿 | |
| dc.subject.keyword | 巨災債券,定價,發行價,利差,保險, | zh_TW |
| dc.subject.keyword | CAT bonds,pricing,issuing price,spread,catastrophe insurance, | en |
| dc.relation.page | 19 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-07-15 | |
| 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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|---|---|---|---|
| ntu-97-1.pdf 未授權公開取用 | 437.22 kB | Adobe PDF |
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