巨灾风险债券定价研究的进展述评

Review on Evolution of Cat Bond Pricing Model

巨灾风险债券作为一种新型金融工具,其定价研究在理论和实证两方面都取得了很大的进展,不过并没有形成统一、成熟的模型。在理论定价层面,参数不确定性、巨灾损失的描述、随机利率、汇率及债券评级4个方面是需要解决的主要问题。基于实证的定价模型对投资者的指导意义很大,却受限于较少的数据,外推时准确性较差,不宜用于初始定价。从另一个角度看,债券合成的方法成为巨灾风险债券定价研究的热点,但在市场不完全问题的处理上稍显简单。

Cat bonds is a new type of financial instrument, of which the pricing has made great progress in both theoretical and empirical research areas , but the pricing has been not form a unified model. The parameters of uncertainty, the description of catastrophe losses, random interest rate, exchange rate and bond rating are the main issues to be resolved in theory pricing level. The pricing model based on the evidence has great guiding significance to investors, but it is not appropriate for the initial pricing. From another perspective, cash flows copying method become a way of catastrophic bonds pricing, but it is poor in solving incomplete market problem.