相关论文: Design and valuation of multi-region CoCoCat bonds

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…

The constantly expanding frequency and loss affected by natural disasters pose a severe challenge to the traditional catastrophe insurance market. This paper aims to develop an innovative framework of pricing catastrophic bonds triggered by…

In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the transfer of part of this risk to investors, offering an…

The insurance-linked securities (ILS) market, as a form of alternative risk transfer, has been at the forefront of innovative risk-transfer solutions. The catastrophe bond (CAT bond) market now represents almost half of the entire ILS…

This paper explores the implications of using machine learning models in the pricing of catastrophe (CAT) bonds. By integrating advanced machine learning techniques, our approach uncovers nonlinear relationships and complex interactions…

After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the…

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…

We study the role of contingent convertible bonds (CoCos) in a complex network of interconnected banks. By studying the system's phase transitions, we reveal that the structure of the interbank network is of fundamental importance for the…

This paper develops a deep learning-based framework for pricing convertible bonds with path-dependent contractual features, namely downward conversion price reset and issuer call clauses under rolling-window trigger rules, which are…

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can…

In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…

In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show…

In many insurance contexts, dependence between risks of a portfolio may arise from their frequencies. We investigate a dependent risk model in which we assume the vector of count variables to be a tree-structured Markov random field with…

We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…

Multi-dimensional data frequently occur in many different fields, including risk management, insurance, biology, environmental sciences, and many more. In analyzing multivariate data, it is imperative that the underlying modelling…

This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and…

Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the widely used risk measure of Value-at-Risk (VaR) has shown…

In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable…

The study of dependence between random variables under external influences is a challenging problem in multivariate analysis. We address this by proposing a novel semi-parametric approach for conditional copula models using Bayesian…

We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent during crises, as…