Seasonality in catastrophe bonds and market‐implied catastrophe arrival frequencies
提出一个概念框架，建模巨灾债券触发概率的季节性，发现该季节性导致利差强烈波动，例如飓风债券利差在飓风季初最高、季末最低，且实证表明季节性能解释高达47%的单风险飓风债券收益率波动，还提供了从二级市场利差获取市场隐含发生频率的方法。
Abstract We develop a conceptual framework to model the seasonality in the probability of catastrophe bonds being triggered. This seasonality causes strong seasonal fluctuations in spreads. For example, the spread on a hurricane bond is highest at the start of the hurricane season and declines as time goes by without a hurricane. The spread is lowest at the end of the hurricane season assuming the bond was not triggered, and then gradually increases as the next hurricane season approaches. The model also implies that the magnitude of the seasonality effect increases with the expected loss and the approaching maturity of the bond. The model is supported by an empirical analysis that indicates that up to 47% of market fluctuations in the yield spreads on single‐peril hurricane bonds can be explained by seasonality. In addition, we provide a method to obtain market‐implied distributions of arrival frequencies from secondary market spreads.