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Obligations catastrophes : comment les marchés financiers évaluent-ils les facteurs de risques naturels ?

Author

Listed:
  • Milo Bianchi
  • Augustin Landier
  • Michal Zajac

Abstract

Catastrophe bonds are securities with payoffs linked to natural tail events. Using a new proprietary database, we investigate the determinants of the pricing ofCATbonds.Wefind thatCATbonds are low beta securities: they have low exposure to stock-market market risk and (although to a lesser extent) to corporate bonds risk. Their risk-premium is significantly positive and is not explained by exposure to systematic risk. We show that issuer?s reputation matters for pricing: issuance of inexperienced issuers are priced at a discount. Classification JEL : G12, Q54.

Suggested Citation

  • Milo Bianchi & Augustin Landier & Michal Zajac, 2017. "Obligations catastrophes : comment les marchés financiers évaluent-ils les facteurs de risques naturels ?," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 213-230.
    • Handle: RePEc:cai:refaef:ecofi_126_0213
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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