Building on recent work incorporating recovery risk into structural models we consider the Black-Cox model with an … added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in …, whereby the asset risk driver A_t defines the default trigger and the recovery risk driver R_t defines the …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …