CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not …

This study investigates whether banks and insurance corporations perform regulatory arbitrage by buying bonds with … hold more bonds with inflated credit ratings. We estimate the probability of a bond having an inflated credit rating using … results show that banks and insurance corporations invest more in bonds with inflated credit ratings, while this effect is …

important and timely asset mix issue: the allocation to stocks vs. bonds. Investors are at a generational juncture. On this … issue, it appears the overwhelming evidence favors stocks over bonds …

portfolios. The efficient portfolios are dominated by short term and BBB rated bonds. The lack of diversification and over …-exposure to bonds with higher credit risk in different market regimes represents a weakness of the Solvency II regulation with …

previous securitizations, we present our proposed longevity bonds, whose payoffs are structured as a series of put option … demonstrate that the risk cubic model developed for pricing catastrophe bonds can be applied to mortality and longevity bond … pricing and use the model to calculate risk premiums for longevity bonds …

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 …