Catastrophe risk and the implied volatility smile

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS
 

Imagen del registro

Artículos Artículos Catastrophe risk and the implied volatility smile - Ben Ammar, Semir

Colección: Artículos

Título: Catastrophe risk and the implied volatility smile / Semir Ben Ammar

Notas: Sumario: Propertycasualty insurers are exposed to rare but severe natural disasters. This article analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared to the rest of the economy and exhibits a seasonal pattern due to hurricanes. We are able to link the insurance-specific tail risk component derived fromoptions with the risk spread fromcatastrophe bonds and global economic losses caused by catastrophes. Our results provide an accurate, high-frequency calculation for catastrophe risk linking the traditional derivatives market with insurance-linked securities.

Otras clasificaciones: 328.1

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

Ver detalle del número Ver detalle del número