题目
Catastrophe (CAT) bonds are a popular derivative instrument for hedging catastrophic risk. A CAT bond pays a higher-than-normal interest rate and is often issued by a subsidiary of an insurance company. Each of the following is TRUE about the features of a CAT bond EXCEPT which is false?
选项
A.For an insurance company, issuing CAT bonds is an alternative to reinsurance: the interest or principal can be used to meet claims
B.CAT bonds tend to have little or no correlation to market returns such that their total risk can be diversified away in a large portfolio
C.A drawback of CAT bonds is the covered loss depends on a definition of "catastrophic loss" which is inevitably subjective and qualitative so that the issuer's basis risk is high
D.An inevitable feature of catastrophic risk is that the loss events are highly dependent on each other; the loss events are not independent and usually they are not even nearly independent
答案
C
解析
The catastrophe loss is contractually defined an depends on the trigger which can be an indemnity trigger, an index (aka, industry) trigger, a parametric trigger, or a modeled trigger. None of these are subjective. In the case of an indemnity trigger, basis risk is low. 衍生产品市场已经出现了若干种不同的产品可以用来对冲灾难风险，最为流行的产品是巨灾债券（CAT bond）。这些债券通常由保险公司的子公司发行，其券息比一般债券要高。为了收人高券息，债券的持有者必须在某种类型的灾难事件发生时承担损失。根据CAT债券条款的不同，债券的券息以及本金（或者两者）都可能被用来支付保险索赔。 巨灾债券的特性是其投资人有很高的概率获取高券息，而蒙受高损失的概率比较低。为什么有投资者对这类产品感兴趣呢？原因在于类似长寿债券，巨灾债券风险与市场风险之间没有统计上的强相关性，正因为如此，对投资人来说，巨灾债券往往是一个可以添加到投资组合中的具有吸引力的选择。因为这些债券没有系统性风险，它们的整体风险完全可以在一个大的交易组合中被得以分散。