| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8106 |
| 来源ID | Working Paper 8106 |
| The Pricing of Event Risks with Parameter Uncertainty | |
| Kenneth A. Froot; Steven E. Posner | |
| 发表日期 | 2001-02-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Financial instruments whose payoffs are linked to exogenous events, such as the occurrence of a natural catastrophe or an unusual weather pattern depend crucially on actuarial models for determining event (e.g., default) probabilities. In many instances, investors appear to receive premiums far in excess of these modeled actuarial probabilities, even for event risks that are uncorrelated with returns on other financial assets. Some have attributed these larger spreads to uncertainty in the probabilities generated by the models. We provide a simple model of such 'parameter uncertainty' and demonstrate how it affects rational investors' demand for event risk exposures. We show that while parameter uncertainty does indeed affect bond spreads, it does not tend to increase spreads by much. Indeed, the spread increases due to parameter uncertainty in our numerical examples are on the order of only 1-2 basis points. Moreover, in many instances, including those that have the most sensible correlation settings, parameter uncertainty tends to decrease the size of bond spreads. We therefore argue that parameter uncertainty does not appear to be a satisfactory explanation for high event-risk returns. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8106 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565699 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Steven E. Posner. The Pricing of Event Risks with Parameter Uncertainty. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8106.pdf（251KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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