Economic Catastrophe Bonds
By Joshua D. Coval, Jakub Jurek, Erik Stafford. 2009
404 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6ece5223993624f70b7e239f6702962f9fa965a6
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- A. Shleifer
- Jeremy C. Stein
- Antje Berndt
- Iulian Obreja
- Jeffrey Ng
- John M. Griffin
- Pepa Kraft
- Jordan Nickerson
In Finance
- A. Shleifer
- Antje Berndt
- Iulian Obreja
- Jeremy C. Stein
- Jeffrey Ng
- Pepa Kraft
- Robert W. Vishny
- D. Tang
Citations in the corpus
- Exploring the sources of default clustering (2018, neutral): “Under different econometric assumptions and using different default timing data, Chava & Jarrow (2004), Das et al. (2007), Duffie et al.”
- Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, neutral): “Coval, Jurek, and Stafford (2009) compare the prices of CDX tranches to those of index options prior to and during the financial crisis.”
- Issuer Quality and Corporate Bond Returns (2013, neutral): “Greenwood, R., S. Hanson, and J. C. Stein.”
- Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis (2009, background): “Coval et al. (2008) show that many structured finance instruments can be characterized as economic catastrophe bonds, but are overpriced by issuers because they offer far less compensation than alternatives with comparable payoff profiles.”
- Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings (2013, positive): “Coval, Jurek, and Stafford (2009a) show that the most senior tranches of CDOs were massively mispriced, and Coval, Jurek, and Stafford (2009b) demonstrate that CDO valuation models hinged on a high degree of confidence in the parameter inputs.”
- Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities (2012, neutral): “The pooling and tranching process eliminates most of the idiosyncratic risk of the underlying assets, while the remaining systematic risk leads to higher expected returns (Coval, Jurek, and Stafford (2009a)).”