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陆佳莹 · 2022年07月30日

为什么CAT bond 会更有吸引力

NO.PZ2020011901000039

问题如下:

Consider two bonds. One is a CAT bond where there is no default risk. The other is a regular corporate bond. An analysis has shown that the expected loss from default risks on the corporate bond is the same as the expected loss from insurance claims on the CAT bond. The bonds have the same coupon and the same price. Which bond would be most attractive to a fund manager with an exist-ing portfolio of corporate bonds?

选项:

A.

The bonds are likely to be equally attractive

B.

The CAT bond is likely to be more attractive

C.

The corporate bond is likely to be more attractive

D.

Any of A, B, and C could be true.

解释:

B. The CAT bond is likely to be more attractive because it offers better diversification benefits. The corporate bond’s return will be somewhat correlated with the return on market indices. The CAT bond has the advantage that its return is almost entirely uncorrelated with the return on market indices.

如果发生巨灾,CAT bond收到的本金和利息不是都会降低么?

1 个答案
已采纳答案

DD仔_品职助教 · 2022年07月30日

嗨,努力学习的PZer你好:


这道题没有提到是否真的会发生巨灾,我们默认是在正常的市场状况下,并且题目也说了这两个债券在收益方面的数学期望是相同的。

现在的目的是想要选择投资一个新债券加入portfolio里,那么正常市场状况下,CAT bond的收益率与金融市场、大盘指数的收益率不怎么具有相关性,因此把CAT bond加入投资组合,可以产生分散化的效果,所以CAT更有吸引力。

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