Traditional risk measures such as standard deviation and CVaR are properties of the distribution of returns over a specified investment horizon. Because such fixed holding period analysis is relatively easy, and because derivative contracts are fixed-term products, the analysis of derivative...

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...