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Financial Markets and Portfolio Management
Published in:

17-04-2023

Securitization of pandemic risk by using coronabond

Authors: Adlane Haffar, Éric Le Fur, Mohamed Khordj

Published in: Financial Markets and Portfolio Management | Issue 2/2023

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Abstract

The article discusses the need for better pandemic risk management within the European Union, highlighting the shortcomings of existing mechanisms like the World Bank's pandemic bonds. It introduces the concept of Coronabonds as a potential solution, applying extreme value theory to determine a reliable trigger for these bonds. The study analyzes the correlation between stock market indices and COVID-19 cases, proposing the use of stock market indices as a trigger mechanism. The authors also estimate the probabilities of exceeding the trigger threshold and discuss the implications for investors and risk management. The article concludes by emphasizing the potential of Coronabonds to improve pandemic risk management and financial stability.
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Footnotes
1
See Wilder-Smith and Osman (2020) for a historic overview of previous pandemics.
 
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Metadata
Title
Securitization of pandemic risk by using coronabond
Authors
Adlane Haffar
Éric Le Fur
Mohamed Khordj
Publication date
17-04-2023
Publisher
Springer US
Published in
Financial Markets and Portfolio Management / Issue 2/2023
Print ISSN: 1934-4554
Electronic ISSN: 2373-8529
DOI
https://doi.org/10.1007/s11408-023-00425-2

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