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  • 标题:The Drivers of Cat Bond Spread in the Primary Market
  • 本地全文:下载
  • 作者:Massimo Mariani ; Paola Amoruso ; Raffaele Didonato
  • 期刊名称:International Journal of Business and Management
  • 印刷版ISSN:1833-3850
  • 电子版ISSN:1833-8119
  • 出版年度:2018
  • 卷号:13
  • 期号:2
  • 页码:65
  • DOI:10.5539/ijbm.v13n2p65
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    The current paper presents an empirical analysis concerning the cat bond spread determinants at the time of issue, to evaluate potential drivers of catastrophe bond prices in the primary market. Starting from the framework description following the main branch of existing literature in this field, the statistical significance of various determinants on the pricing of cat bond is measured, paying attention to a factor representative of economic and financial circumstances and market conditions in general, consequently not associated with the catastrophe risk, namely Libor; it will be considered in order to verify the absence of influence of risk free rate on spread in the primary market. The results achieved provide insight in understanding variation of catastrophe risk prices, by taking into account term structure as well as external conditions, thus evaluating which potential spread determinants could help to improve the explanatory power of an econometric pricing model. 

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