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Multifactor spread models for cat bonds in the primary and secondary market

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dc.contributor.advisorCárcamo Cárcamo, Ulises
dc.contributor.authorGómez Cardona, Laura
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creator.emaillauragomez629@gmail.comspa
dc.date.accessioned2016-03-08T20:25:03Z
dc.date.available2016-03-08T20:25:03Z
dc.date.issued2014
dc.description.abstractAs a result of the reinsurance industry seeking for additional capital capacity in the financial markets, a new class of financial instruments for trading insurance related assets has emerged -- This class is known as Insurance Linked securities (ILS), being Cat bonds the most successful class of ILS so far, reaching an outstanding trading volume of US$7 billion just after 10 years since its public appearance -- Their success derives from its innovative structure, which is attractive to the sponsors as an alternative to reinsurance protection against catastrophic losses, and to the investors as a high yield asset, uncorrelated with other financial securities -- This research seeks to address the need for market players to fully understand the dynamics of Cat Bonds prices in the primary and secondary market, and, to provide a reliable valuation tool for making sound investment decisions -- We propose multifactor spread models in which several variables are included as determinants for the Cat Bond’s spread -- Our results are robust, and have a general applicability in both for the P&C and Life marketspa
dc.description.degreelevelMaestríaspa
dc.description.degreenameMagíster en Matemáticas Aplicadasspa
dc.format.mimetypeapplication/pdf
dc.identifier.instnameinstname:Universidad EAFIT
dc.identifier.reponamereponame:Repositorio Institucional Universidad EAFIT
dc.identifier.repourlrepourl:https://repository.eafit.edu.co
dc.identifier.urihttps://hdl.handle.net/10784/8159
dc.language.isoeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentDepartamento de Ciencias Básicasspa
dc.publisher.facultyEscuela de Cienciasspa
dc.publisher.placeMedellínspa
dc.publisher.programMaestría en Matemáticas Aplicadasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAcceso abierto
dc.subjectBonos catástrofespa
dc.subjectSidecarsspa
dc.subject.keywordCapital marketspa
dc.subject.keywordFinancial institutionsspa
dc.subject.keywordSecuritiesspa
dc.subject.keywordNatural disastersspa
dc.subject.keywordRiskspa
dc.subject.keywordDecision-makingspa
dc.subject.keywordReinsurancespa
dc.subject.keywordRisk (Insurance)spa
dc.subject.lembMERCADO FINANCIEROspa
dc.subject.lembMERCADO DE CAPITALESspa
dc.subject.lembINSTITUCIONES FINANCIERASspa
dc.subject.lembTÍTULOS VALORESspa
dc.subject.lembDESASTRES NATURALESspa
dc.subject.lembRIESGO (ECONOMÍA)spa
dc.subject.lembTOMA DE DECISIONESspa
dc.subject.lembREASEGUROSspa
dc.subject.lembRIESGOS (SEGUROS)spa
dc.titleMultifactor spread models for cat bonds in the primary and secondary market
dc.typeinfo:eu-repo/semantics/masterThesis
dc.type.coarhttp://purl.org/coar/resource_type/c_bdcc
dc.type.coarversionhttp://purl.org/coar/version/c_ab4af688f83e57aa
dc.type.localTesis de Maestríaspa
dc.type.redcolhttp://purl.org/redcol/resource_type/TM
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dspace.entity.typePublication

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