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The valuation of catastrophe bonds with exposure to currency exchange risk
Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International review of financial analysis 33 (2014), pp. 243-252
Persistent link: https://www.econbiz.de/10010520456
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Papers on bond valuation
Lai, Van Son (contributor); Zhang, Xueying (contributor);  … - 2013
Persistent link: https://www.econbiz.de/10010248473
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Hedging flood losses using cat bonds
Têtu, Alexandre; Lai, Van Son; Soumaré, Issouf; … - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 149-184
Persistent link: https://www.econbiz.de/10011407695
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Default Correlation and Bond Portfolio Management
Li, Ping - 2010
In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We … use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these … two types of default dependence structure, while the marginal distribution of time to default is an important determinant …
Persistent link: https://www.econbiz.de/10013139159
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The impact of CoCo bonds on systemic risk considering liquidity risk
Li, Ping; Guo, Yanhong; Meng, Hui - In: Quantitative finance 22 (2022) 2, pp. 385-406
Persistent link: https://www.econbiz.de/10013167761
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The Impact of CoCo Bonds on Systemic Risk Considering Liquidity Risk
Li, Ping - 2020
liquidity channel, we compare the differences in default contagion and clearing payment between financial systems with and … CoCo bonds could enhance the risk resilience of issuing banks to a certain degree, but the default of issuing banks will …
Persistent link: https://www.econbiz.de/10012841225
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The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk
Lai, Van Son - 2014
In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT bonds). The model considers the sponsor's exposure to currency exchange risk and the risk of catastrophic events. We use a jump-diffusion process for catastrophic events, a...
Persistent link: https://www.econbiz.de/10013058284
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Hedging Flood Losses Using Cat Bonds
Tetu, Alexandre - 2015
In this paper, we develop a methodology to model the risk of losses resulting from a natural disaster in which the intensity parameter of the non-homogeneous Poisson process has an upward trend and a seasonal component. We apply this model to losses due to floods in the Financial Assistance...
Persistent link: https://www.econbiz.de/10013021976
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A Characterization of CAT Bond Performance Indices
Trottier, Denis-Alexandre - 2018
Although several works have highlighted the diversification benefits of catastrophe (CAT) bond funds as well as the attracting returns they offer, there is a lack in the literature regarding what econometric models are suitable to predict the risks of such funds. This note contributes by...
Persistent link: https://www.econbiz.de/10012924199
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Do Green Bonds Add Value in Multi-Asset Portfolios : Evidence from China
Han, Yingwei - 2020
The green bond market has been growing rapidly worldwide in recent years. This paper investigates the role of green bonds in asset allocation considering Chinese financial markets. We use CoVaR to examine the risk spillovers between green bonds and stock-bond markets, finding that green bonds...
Persistent link: https://www.econbiz.de/10012829568