This paper analyzes the basis risk of catastrophic-loss (CAT) index derivatives, which securitize losses from … Research. We analyze basis risk by measuring the effectiveness of hedge portfolios, consisting of a short position each insurer …'s own catastrophic losses and a long position in CAT-index call spreads, in reducing insurer loss volatility, value-at-risk …

-dimensional subordinators, allowing for default dependence through common risk factors. We performance a suitable decomposition of the bilateral …

essential. Do the short- and long-term forward prices behave similarly? Do property derivatives behave like other derivative … contracts, the underlying asset (IPD index and IPD unsmoothed) and other assets (risk-free rate, listed real estate) are … derivative contracts. Moreover, changes in forward prices are leading indicators of the IPD index. Their risks tend to converge …

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of …

Recently there has been some interest in the credit risk literature in models which involve stopping times related to … provide a review of the literature on excursion time models of credit risk. Moreover, we examine the effects on credit spreads …