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.

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Year of publication:	2010
Authors:	Laura-Gabriela, CONSTANTIN ; Bogdan, CERNAT-GRUICI ; Irina-Eugenia, IAMANDI
Published in:	Ovidius University Annals, Economic Sciences Series. - Facultatea de Ştiinţe Economice, ISSN 1582-9383. - Vol. X.2010, 1, p. 1494-1499
Publisher:	Facultatea de Ştiinţe Economice
Subject:	bonds market \| volatility \| financial environment

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008854909