and foreign interest rates, and a hedging cost for the currency risk to derive a semi-closed-form formula for the CAT bond … showing the following: in addition to catastrophic risk, the CAT bond price is affected mainly by the volatility of the …In this paper, we present a new model that takes an arbitrage approach to the valuation of catastrophic risk bonds (CAT …

related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is … interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at …

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 …