A Study of Relationship between the Market Risk and Cat Bonds
碩士 === 國立交通大學 === 財務金融研究所 === 103 === This paper shows that catastrophe bond index return correlate significantly with both stock market and bond market. Hence, we use OLS regressions and the data between 2002 and 2014 to test the beta coefficients. The empirical results show catastrophe bond has si...
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08169786946440741789 |
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ndltd-TW-103NCTU53040032016-08-28T04:12:41Z http://ndltd.ncl.edu.tw/handle/08169786946440741789 A Study of Relationship between the Market Risk and Cat Bonds 巨災債券之市場風險探討 Lu, Kuan-Yu 盧冠宇 碩士 國立交通大學 財務金融研究所 103 This paper shows that catastrophe bond index return correlate significantly with both stock market and bond market. Hence, we use OLS regressions and the data between 2002 and 2014 to test the beta coefficients. The empirical results show catastrophe bond has significant market risk. In addition, the correlation coefficient between catastrophe bonds and corporate bonds has significantly increased after 2008. The results also show that correlation coefficient would increase when the catastrophe bond price is falling. 俞明德 2015 學位論文 ; thesis 37 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
| description |
碩士 === 國立交通大學 === 財務金融研究所 === 103 === This paper shows that catastrophe bond index return correlate significantly with both stock market and bond market. Hence, we use OLS regressions and the data between 2002 and 2014 to test the beta coefficients. The empirical results show catastrophe bond has significant market risk. In addition, the correlation coefficient between catastrophe bonds and corporate bonds has significantly increased after 2008. The results also show that correlation coefficient would increase when the catastrophe bond price is falling.
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| author2 |
俞明德 |
| author_facet |
俞明德 Lu, Kuan-Yu 盧冠宇 |
| author |
Lu, Kuan-Yu 盧冠宇 |
| spellingShingle |
Lu, Kuan-Yu 盧冠宇 A Study of Relationship between the Market Risk and Cat Bonds |
| author_sort |
Lu, Kuan-Yu |
| title |
A Study of Relationship between the Market Risk and Cat Bonds |
| title_short |
A Study of Relationship between the Market Risk and Cat Bonds |
| title_full |
A Study of Relationship between the Market Risk and Cat Bonds |
| title_fullStr |
A Study of Relationship between the Market Risk and Cat Bonds |
| title_full_unstemmed |
A Study of Relationship between the Market Risk and Cat Bonds |
| title_sort |
study of relationship between the market risk and cat bonds |
| publishDate |
2015 |
| url |
http://ndltd.ncl.edu.tw/handle/08169786946440741789 |
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