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Erschienen in:
2023 | OriginalPaper | Buchkapitel
8. Catastrophe Bonds: A Mitigation Opportunity in Turmoil Period
verfasst von : Massimo Mariani, Alessandra Caragnano, Francesco D’Ercole, Raffaele Didonato, Domenico Frascati
Erschienen in: Contemporary Issues in Sustainable Finance
Abstract
The work aims at examining the beneficial effect of minimal, if any, correlation of an alternative asset class, as Catastrophe bonds with traditional assets, specifically bonds, equity, real estate and commodity. Adopting a multi-level approach based on linear correlation and regression, diversification effect of Catastrophe bonds has been tested through spanning tests and portfolio optimizations resulting in the classification of the instruments as market-uncorrelated diversifier. Assuming the robustness of the results during the pandemic crisis, as a possible breakthrough in the market, the work shows the higher resilience of the Catastrophe bonds justifying its inclusion in diversifying portfolios during the turmoil period.