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dc.contributor.authorLo, Chien-Lingen_US
dc.contributor.authorLee, Jin-Pingen_US
dc.contributor.authorYu, Min-Tehen_US
dc.date.accessioned2014-12-08T15:33:48Z-
dc.date.available2014-12-08T15:33:48Z-
dc.date.issued2013-12-01en_US
dc.identifier.issn0378-4266en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.jbankfin.2013.09.007en_US
dc.identifier.urihttp://hdl.handle.net/11536/23348-
dc.description.abstractThis study develops a structural framework to value insurers' contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument - catastrophe equity put option (CatEPut) - indicate that prices can be significantly overestimated without considering CR and be significantly underestimated without considering PE. This study also examines how CatEPuts affect the buyer's probability of default (PD). Our results show that buying a CatEPut lowers the PD for high-risk insurers, but not necessarily so for low-risk insurers; however, without taking CR and PE into account, one may significantly overestimate the credit enhancement provided by the CatEPuts. (C) 2013 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectContingent capitalen_US
dc.subjectCatastrophe risken_US
dc.subjectInsurer's default risken_US
dc.subjectCatastrophe equity putsen_US
dc.subjectContingent claim analysisen_US
dc.titleValuation of insurers' contingent capital with counterparty risk and price endogeneityen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.jbankfin.2013.09.007en_US
dc.identifier.journalJOURNAL OF BANKING & FINANCEen_US
dc.citation.volume37en_US
dc.citation.issue12en_US
dc.citation.spage5025en_US
dc.citation.epage5035en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000327683200025-
dc.citation.woscount0-
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