An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index
AbstractThe catastrophe bonds have become an important asset class of the international financial market and the recent disasters that affected economies all over the world reinforced the need of reflection upon this risk transfer instrument. Within this context, this paper is an attempt of modelling the volatility of a catastrophe bond index, mainly the Swiss Re Total Return Index, through a GARCH approach.
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Bibliographic InfoArticle provided by Ovidius University of Constantza, Faculty of Economic Sciences in its journal Ovidius University Annals, Economic Sciences Series.
Volume (Year): X (2010)
Issue (Month): 1 (May)
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Web page: http://www.univ-ovidius.ro/facultatea-de-stiinte-economice
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bonds market; volatility; financial environment;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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