Economic Catastrophe Bonds

• 成果类型: Article
• 署名作者: Coval, Joshua D.; Jurek, Jakub W.; Stafford, Erik
• 署名单位: Harvard University; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.3.628
• 发表日期: 2009
• 页码: 628-666
• 关键词: COLLATERALIZED DEBT OBLIGATIONS; empirical-analysis; CORPORATE-BONDS; asset prices; RISK; securities; valuation; implicit; spreads; MARKET

摘要

The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds-bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles.(JEL G11, G12)