Seminar 217, Risk Management: Common Risk Factors in the Cross Section of Catastrophe Bond Returns

Seminar 217, Risk Management: Common Risk Factors in the Cross Section of Catastrophe Bond Returns

Risk Seminar
Mar 1, 2022, 11:00 AM - 12:30 PM | https://berkeley.zoom.us/j/96011550583?pwd=QWYvQ0pKY29Nd25GVDVBV3MyZkNFdz09 | Happening As Scheduled
Alex Braun, University of St. Gallen (Speaker - Featured)

Catastrophe bonds are an alternative asset class with high excess returns, for which no factor pricing model has emerged to date. We analyze the cross section of catastrophe bond returns for the complete market between 2001 and 2020. Our empirical results show that, of all known coupon and yield spread determinants, only (seasonal) event risk significantly impacts realized returns. A novel...