巨災債券之市場風險探討

Abstract

本文使用瑞士再保編制之巨災債券指數，並以迴歸模型分別研究巨災債券報酬與股票市場和巨災債券與公司債市場之關聯。實證結果發現巨災債券指數在2002年至2014年三月之樣本期間，報酬與股票指數和公司債指數之相關係數皆顯著，顯示巨災債券具有顯著存在的市場風險。其中，在2008年雷曼兄弟違約後，巨災債券與公司債市場相關係數大幅上升。本篇文章並發現當巨災債券下跌時，與市場相關係數會明顯上升。

This paper shows that catastrophe bond index return correlate significantly with both stock market and bond market. Hence, we use OLS regressions and the data between 2002 and 2014 to test the beta coefficients. The empirical results show catastrophe bond has significant market risk. In addition, the correlation coefficient between catastrophe bonds and corporate bonds has significantly increased after 2008. The results also show that correlation coefficient would increase when the catastrophe bond price is falling.