The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds
利用二级市场数据，研究了金融危机和自然灾害如何影响巨灾债券的溢价，发现两者均显著推高溢价，且巨灾债券并非零贝塔证券。
This article employs secondary market data to examine how natural catastrophes or financial crises affect CAT bond premiums. We find evidence that both the financial crisis and Hurricane Katrina significantly affected CAT bond premiums. The premium increase resulting from natural catastrophes can primarily be attributed to an increased coefficient of expected loss calculated by catastrophe modeling companies. Furthermore, our results indicate a positive relationship between corporate spreads and CAT bond premiums. Thus, CAT bonds should not be regarded as “zero‐beta” securities. Moreover, our results indicate that deal complexity, ratings, and the reinsurance cycle are significant drivers of CAT bond premiums.