IDEAS home Printed from https://ideas.repec.org/h/pal/psifcp/978-3-031-22539-0_8.html
   My bibliography  Save this book chapter

Catastrophe Bonds: A Mitigation Opportunity in Turmoil Period

In: Contemporary Issues in Sustainable Finance

Author

Listed:
  • Massimo Mariani

    (LUM Giuseppe Degennaro University)

  • Alessandra Caragnano

    (SDA Bocconi School of Management)

  • Francesco D’Ercole

    (LUM Giuseppe Degennaro University)

  • Raffaele Didonato

    (LUM Giuseppe Degennaro University)

  • Domenico Frascati

    (LUM Giuseppe Degennaro University)

Abstract

The work aims at examining the beneficial effect of minimal, if any, correlation of an alternative asset class, as Catastrophe bonds with traditional assets, specifically bonds, equity, real estate and commodity. Adopting a multi-level approach based on linear correlation and regression, diversification effect of Catastrophe bonds has been tested through spanning tests and portfolio optimizations resulting in the classification of the instruments as market-uncorrelated diversifier. Assuming the robustness of the results during the pandemic crisis, as a possible breakthrough in the market, the work shows the higher resilience of the Catastrophe bonds justifying its inclusion in diversifying portfolios during the turmoil period.

Suggested Citation

  • Massimo Mariani & Alessandra Caragnano & Francesco D’Ercole & Raffaele Didonato & Domenico Frascati, 2023. "Catastrophe Bonds: A Mitigation Opportunity in Turmoil Period," Palgrave Studies in Impact Finance, in: Mario La Torre & Sabrina Leo (ed.), Contemporary Issues in Sustainable Finance, chapter 0, pages 187-228, Palgrave Macmillan.
    • Handle: RePEc:pal:psifcp:978-3-031-22539-0_8
    DOI: 10.1007/978-3-031-22539-0_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:psifcp:978-3-031-22539-0_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.