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 …

This paper demonstrates that catastrophe (cat) bonds provide substantial benefits of diversification when added to an … investor's opportunity set already consisting of securities from traditional asset classes. We find that cat bonds … estimate DCC-GARCH models and find a low average correlation between cat bonds and traditional asset classes. We then conduct …

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 …

Do catastrophe bonds increase or decrease the exposure and contribution to systemic risk of the issuing insurance …