An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index

Laura-Gabriela Constantin (), Bogdan Cernat-Gruici and Irina-Eugenia Iamandi

Ovidius University Annals, Economic Sciences Series, 2010, vol. X, issue 1, 1494-1499

Abstract: The catastrophe bonds have become an important asset class of the international financial market and the recent disasters that affected economies all over the world reinforced the need of reflection upon this risk transfer instrument. Within this context, this paper is an attempt of modelling the volatility of a catastrophe bond index, mainly the Swiss Re Total Return Index, through a GARCH approach.

Keywords: bonds market; volatility; financial environment (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:10:y:2010:i:1:p:1494-1499

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