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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Statistical Evidence for the Determinants of Spreads at the Time of Issuance in the Catastrophe Bonds Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 80 |
| Date | 2020 |
| Abstract Text | Catastrophe Bonds are securities allowing re/insurers to transfer risk to nancial markets. Due to their connection to natural hazards and their relative independence from other asset classes, CAT Bonds prices obey to dynamics that markedly di er from those of other nancial instruments. Firstly, these securities are investigated from a theoretical perspective by means of the approaches proposed by Froot (2001) and Nell and Richter (2000). Based on such theoretical premises, a comprehensive set of hypothesis is formulated with regards to the main determinants of issuance prices. The hypothesis are then tested on a comprehensive dataset of public Property & Casualty bonds issued between 2008 and 2019. The OLS regressions performed con rm many results reported in previous literature, restating the relevance of transaction-speci c features such as the Expected Loss, the territory and peril covered, and the trigger applied. With respect to the latter, the results also indicate that substantial changes recently took place with regards to how the di erent types of triggers are perceived on the market. Moreover, data also suggest that macroeconomic elements like the stage of the reinsurance cycle and that of yields on comparable corporate bonds in uence CAT Bonds prices. Finally, time xed e ects are included in the analysis to take into consideration the high volatility that characterized this market over the period considered. |
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