Obligations catastrophes: comment les marchés financiers évaluent-ils les facteurs de risques naturels ?

Milo Bianchi, Augustin Landier and Michal Zajac

Revue d'économie financière, 2017, vol. N° 126, issue 2, 213-230

Abstract: Catastrophe bonds are securities with payoffs linked to natural tail events. Using a new proprietary database, we investigate the determinants of the pricing ofCATbonds.Wefind thatCATbonds are low beta securities: they have low exposure to stock-market market risk and (although to a lesser extent) to corporate bonds risk. Their risk-premium is significantly positive and is not explained by exposure to systematic risk. We show that issuer?s reputation matters for pricing: issuance of inexperienced issuers are priced at a discount. Classification JEL : G12, Q54.

JEL-codes: G12 Q54 (search for similar items in EconPapers)
Date: 2017
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