| Summary: | 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 geophysical data center. In order to understand the influence of the parameters, we check the results with sensitivity analysis. The results show that the consideration of default risk, basis risk, and moral hazard will drive down the catastrophe bond prices. We also discover that the loss frequency, loss severity, and interest rate elasticity of asset are correlated positively with the price of catastrophe bond; the setting of the trigger and the portion of the principal that investors can get back when the forgiveness trigger has been pulled are correlated negatively with the price of catastrophe bond. Eventually, we adopt the issuant information and the market price of the Muteki earthquake bond to calibrate the parameters of loss frequency and loss severity with our closed-form formula. We find that investors’ expectation of the seismic frequency are higher than issuers’, so investors only want to buy the catastrophe bonds with lower price, and to enhance the risk premium.
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