英文标题：
《Valuation of contingent convertible catastrophe bonds - the case for
equity conversion》
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作者：
Krzysztof Burnecki, Mario Nicol\\\'o Giuricich and Zbigniew Palmowski
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最新提交年份：
2018
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英文摘要：
Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe bond (CocoCat). We begin with a discussion of its design and compare its relative merits to catastrophe bonds and catastrophe-equity puts. Subsequently, we derive analytical valuation formulae for index-linked CocoCats under the assumption of independence between natural catastrophe and financial markets risks. We model natural catastrophe losses by a time-inhomogeneous compound Poisson process, with the interest-rate process governed by the Longstaff model. By using an exponential change of measure on the loss process, as well as a Girsanov-like transformation to synthetically remove the correlation between the share and interest-rate processes, we obtain these analytical formulae. Using selected parameter values in line with earlier research, we empirically analyse our valuation formulae for index-linked CocoCats. An analysis of the results reveals that the CocoCat prices are most sensitive to changing interest-rates, conversion fractions and the threshold levels defining the trigger times.
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中文摘要：
在有关或有可转换债券的银行相关文献的背景下，我们全面正式确定了一种相对新型的保险相关证券的设计和特征，称为或有可转换巨灾债券（CoCoCate）。我们首先讨论其设计，并将其与巨灾债券和巨灾股票看跌期权的相对优点进行比较。随后，在自然灾害和金融市场风险独立的假设下，我们推导出了指数挂钩共同资本的分析估值公式。我们用时间非齐次复合泊松过程模拟自然灾害损失，利率过程由Longstaff模型控制。通过使用损失过程的指数变化测度，以及类Girsanov变换来综合消除份额和利率过程之间的相关性，我们得到了这些分析公式。使用与早期研究一致的选定参数值，我们实证分析了指数关联型CocoCats的估值公式。对结果的分析表明，COCOCATE价格对利率、转换分数和定义触发时间的阈值水平的变化最为敏感。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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