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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/77363


    Title: 考量流動性風險下巨災債券與颶風衍生性商品之評價、實證與風險管理
    Other Titles: The Evaluation, Empirical Performance and Risk Managemtnt of Catastrophe Bonds and Hurrican Derivatives
    Authors: 林士貴
    Contributors: 金融系
    Keywords: 巨災債券;颶風指數期貨;颶風指數期貨選擇權;Carvill 颶風指數;信用風險;流 動性風險;衍生性商品定價;風險管理
    Catastrophe Bond;Hurricane Index Futures;Hurricane Index Futures Option;Carvill Hurricane Index;Credit Risk;Liquidity Risk;Derivative Pricing;Risk Management
    Date: 2014
    Issue Date: 2015-08-05 11:02:41 (UTC+8)
    Abstract: The economy losses caused by catastrophe events have increased in recent years resulting in the (re)insurance companies faced a serious impact. According to recently lectures, the reinsurance market could not provide the sufficient demand for managing catastrophe risks and the insurers transfer the attention to the capital market by insurance linked securities to hedge the underlying risks in conjunction with the high liquidation and sizable capital, and enhance the effect of dispersing catastrophe risks. The main purpose and direction of this study is divided into three aspects: First, we investigate catastrophe bonds under catastrophe risks, credit risks, and liquidity risks considering the issue of the Special Purpose Vehicle and the traditional insurance company, and study the empirical analysis by the trading data of the catastrophe bond. Second, we evaluate the prices of hurricane index futures and futures option under liquidity risk by fitting the dynamics of hurricane index and estimating the parameters. The pricing formula and hedging strategies of hurricane index futures and futures option is developed in the second year. Third, we investigate the reinsurance market, CAT bond market and hurricane-linked derivatives market to find the optimal strategies in cost and risk and analysis the management decision using reinsurance, CAT bond and hurricane-linked derivatives.
    Relation: NSC102-2410-H004-028-MY2
    PF10301-0887
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

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