Replication data for: Economic Catastrophe Bonds

Principal Investigator(s):  View help for Principal Investigator(s) Joshua D. Coval; Jakub W. Jurek; Erik Stafford

Version:  View help for Version V1

Name File Type Size Last Modified
BondPricer.m text/plain 19.1 KB 10/12/2019 05:03:AM
ECB_ReadMe.pdf application/pdf 20.9 KB 10/12/2019 05:03:AM
LICENSE.txt text/plain 14.6 KB 10/12/2019 05:03:AM
TranchePricer.m text/plain 8.4 KB 10/12/2019 05:03:AM
calibrator.m text/x-pascal 3.9 KB 10/12/2019 05:03:AM
computeADPrices.m text/plain 5.5 KB 10/12/2019 05:03:AM
loadDataDefinitions.m text/plain 1.3 KB 10/12/2019 05:03:AM
masterDATA.csv text/plain 142.5 KB 10/12/2019 05:03:AM
replicator.m text/x-pascal 1.6 KB 10/12/2019 05:03:AM
trancheCoupon.m text/x-fortran 1.5 KB 10/12/2019 05:03:AM

Project Citation: 

Coval, Joshua D., Jurek, Jakub W., and Stafford, Erik. Replication data for: Economic Catastrophe Bonds. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113301V1

Project Description

Summary:  View help for Summary The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds—bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. (JEL G11, G12)

Scope of Project

JEL Classification:  View help for JEL Classification
      G11 Portfolio Choice; Investment Decisions
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 9/2004 – 9/2007
Data Type(s):  View help for Data Type(s) event/transaction data


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V1 [2019-10-12]

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