Explaining the Spreads on Catastrophe Bonds
碩士 === 國立臺灣大學 === 財務金融學研究所 === 94 === The study attempts to explain the spreads over three-month LIBOR rates on catastrophe bonds using regression models. Transactions from 1997 to 2005 are all analyzed by two empirical pricing models, namely the log LFC Model and Aggregate Model. Analytical results...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21142204027652608454 |