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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/85680

    Title: 考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理
    Other Titles: The Evaluation, Empirical Performance and Risk Managemtnt of Catastrophe Bonds and Hurrican Derivatives
    Authors: 林士貴
    Contributors: 金融系
    Keywords: 巨災債券;颶風指數期貨;颶風指數期貨選擇權;Carvill 颶風指數;信用風險;流 動性風險;衍生性商品定價;風險管理
    Catastrophe Bond;Hurricane Index Futures;Hurricane Index Futures Option;Carvill Hurricane Index;Credit Risk;Liquidity Risk;Derivative Pricing;Risk Management
    Date: 2013
    Issue Date: 2016-04-20 14:31:00 (UTC+8)
    Abstract: 本研究在縮減式模型的架構下提出了一個一般化的巨災債券評價模
    This paper proposes a general pricing formula based on a
    reduced-form model to evaluate catastrophe bonds (CAT
    bonds) with catastrophe risks, default risks, and interest
    rate risks. This model is flexible and can be widely used
    in CAT bond markets with a variety of payoff functions and
    CAT bond provisions. With regard to the most important
    catastrophe risks, we can choose the specific distributions
    for loss severity and the counting process of the frequency
    of catastrophe events according to the underlying perils
    and region. Moreover, the credit risks and interest rate
    risks are concretely modeled and incorporated into the
    pricing model. The scenario analysis demonstrates how the
    provisions and the risks of CAT bonds affect bond price,
    and the reasonable numerical results reveal the validity
    and robustness of our pricing model.
    Relation: 計畫編號 NSC 102-2410-H004-028-MY2
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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