A multifactor pricing model for cat bonds in the secondary market

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dc.citation.epage258
dc.citation.issue2
dc.citation.journalTitleJournal of Business, Economics & Financeeng
dc.citation.spage247
dc.citation.volume3
dc.contributor.affiliationUniversidad EAFIT, Colombiaspa
dc.contributor.affiliationUniversidad EAFIT, Colombiaspa
dc.contributor.authorGomez, Lauraspa
dc.contributor.authorCarcamo, Ulisesspa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa
dc.date2014
dc.date.accessioned2015-11-06T21:15:37Z
dc.date.available2015-11-06T21:15:37Z
dc.date.issued2014
dc.description.abstractGiven the relevance that Cat Bonds are taking in the financial markets, as well as their appeal for different types of investors, it becomes pertinent to understand the price dynamics of these securities in the secondary market. Several authors have developed and proposed different valuation approaches, focusing on the probability of occurrence of catastrophic events, as the main variable impacting the pricing of Cat bonds in the secondary market. However, the lack of inclusion of other factors considered relevant for investors, narrows the range of pricing driver’s of Cat Bonds. This paper seeks to address the former need, presenting a panel data approach of a multifactor spread model, which comprehends 5 relevant variables. The results proved an adequate fitness and show that the model can be applied to both the P&C and, the Life market.eng
dc.identifier.issn2146-7943
dc.identifier.urihttp://hdl.handle.net/10784/7626
dc.language.isoengeng
dc.publisherPress Academiaeng
dc.relation.ispartofJournal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258spa
dc.relation.isversionofhttp://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889
dc.relation.urihttp://dergipark.ulakbim.gov.tr/jbef/article/view/5000075889
dc.rightsopenAccesseng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.sourceJournal of Business, Economics & Finance. Vol. 3, (2), 2014, pp.247-258spa
dc.subject.keywordCat Bondseng
dc.subject.keywordILSeng
dc.subject.keywordSecondary marketeng
dc.subject.keywordIndicative spreadeng
dc.subject.keywordPanel dataeng
dc.titleA multifactor pricing model for cat bonds in the secondary marketeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionpublishedVersioneng
dc.type.localArtículospa

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