An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index
The 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.
Volume (Year): X (2010)
Issue (Month): 1 (May)
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