Zero-beta Characteristic of CAT Bonds
In order to spread catastrophic risk further in the capital market, the relation between these two parts is analyzed. Beta values of index returns between CAT bonds and the stock and bonds markets in US and Europe are calculated in the period covering the global financial crisis, which can be approximated to zero. By taking this kind of assets into a market portfolio, the efficient frontier is improved, that is, the risk is reduced and the expected return is increased. It is illustrated CAT bonds can be adopted, as a supplement of catastrophe insurance, to transfer catastrophic risk into a larger pool, even during the 2008 global financial crisis, since they are zero-beta assets.
CAT bonds zero-beta efficient frontier
Zhengru Tao
Institute of Engineering Mechanics, China Earthquake Administration, Harbin 150080, China
国际会议
武汉
英文
641-644
2011-10-17（万方平台首次上网日期，不代表论文的发表时间）