A Closed-Form Pricing Formula for Catastrophe Bonds with Default Risk, Basis Risk and Moral Hazard: Evidence from Muteki Ltd. Earthquake Bond
碩士 === 國立政治大學 === 金融研究所 === 100 === The contribution of this article is deriving the closed-form formula for catastrophe bonds with default risk, basis risk and moral hazard. We also calibrate parameters with the market information of Muteki catastrophe bond and the loss data from National geophysic...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/9fe88p |