Economic Catastrophe Bonds

被引：158

作者：

Coval, Joshua D. ^{[1
]}

Jurek, Jakub W. ^{[2
]}

Stafford, Erik ^{[1
]}

机构：

[1] Harvard Univ, Sch Business, Boston, MA 02459 USA

[2] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA

来源：

AMERICAN ECONOMIC REVIEW | 2009年 / 99卷 / 03期

关键词：

COLLATERALIZED DEBT OBLIGATIONS; EMPIRICAL-ANALYSIS; CORPORATE-BONDS; ASSET PRICES; RISK; SECURITIES; VALUATION; IMPLICIT; SPREADS; MARKET;

D O I：

10.1257/aer.99.3.628

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds-bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles.(JEL G11, G12)

引用

页码：628 / 666

页数：39

共 55 条

[21] The determinants of credit spread changes [J].